Struggling to Grasp Vomma/Volga of OTM Options

Discussion in 'Options' started by HBWTech, Nov 27, 2018.

  1. ironchef

    ironchef

    For us non financial retails BS gives us a very simple framework to understand the basics of option pricing.

    How do you model skew may I ask?
     
    #11     Nov 29, 2018
  2. Unless you are trading in millions vomma is irrelevant as are all the second order derivatives- and Vega is as reliable as a vintage British motorcycle -it's the Greek most likely to surprise in my real world experience
     
    #12     Dec 1, 2018