Option Traders, I wrote an article on weighted vega for SFO Magazine. Please take the time to read it. I would appreciate any comments.
SFO article: How Well Do You Know Your Vega?
If you found Option911 because of the article, I think you will find yesterday’s (More SPX Skew and Calendar Take with a Small Discussion On VIX) and Wednesday’s (SPX IV Skew Update) posts interesting. Take the time to peruse some of the other pieces I have written. I will be posting a mailbag later this afternoon, and writting another article this weekend.
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