My Vega Analysis

Discussion in 'Options' started by JS11374, Jul 5, 2002.

  1. JS11374

    JS11374

    I wrote this software to analyze the effect of IV and spot price on a given spread position. I'm pretty sure my graphing is correct, but I thought I might as well have the knowledge people on this board comment on it.

    The grayscale chart is spot vs. IV, with IV running down the Y axis (top is small, bottom is high) and spot is running across the X axis (left is small, right is large). The two charts are profiles, one holding IV constant and the other holding spot constant. The position charted is:

    Long 1 Jul02 23 Put @ 0.52
    Short 1 Aug02 23 Put @ 1.5

    The charting date is 7/19/02, at the expiration of the long leg.

    Oh, I know Rho and Theta are incorrect, still trying to figure out why.

    Thanks in advance for looking at it.