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200basis gain in what, implied vols? A vega of .30?! Where are you finding .30 vega on atm options other than index markets? A $50spot/50call w/60d to expiration carries a vega of .08 at 30vol. Using $50spot and 50strike calls with 60d to expiration at 30% vol, I get a $prem increase of $.66 at a flat dvega/dvol and no discrete gamma calc.

 

yes , then call (put) gains .50+.30*2 = > 1$

 

OK, then I don't dispute the above, but I don't find a lot of .30 vega in stock options. You need to trade spot at 200-strike to get to .30 vega.

 

True , only few and the infamous ISRG ( 100d+) is one of them , lol

 

Not to nitpick, but I just ran ISRG on my handheld for 60d at 60vol at 125 strike, and it spits-out a .20vega fig. So you're talking a $.90 gain! Almost there... =)

 

Nice try , B. I said a 100d+ , and not the 60d. I learned from the best , remember ?

 

LOL, now it's 100 days? I missed that.

 

Yes, your wording was incorrect. Greeks express the sensitivity, but do not affect prices.

 

maybe this can help
http://www.traderslibrary.com/tradesecrets/manuals/3342047.pdf

 

how about optionoracle?