vomma01 Mark Sebastian former market maker real iv rallying: st

来源: marketreflections 于 2011-05-21 06:23:07 [档案] [博客] [旧帖] [给我悄悄话] 阅读数 : (796 bytes)

回答: 回复：金融工程家坛 long gamma=long vol, short gamma=short vol,vomma is 2n 由 marketreflections 于 2011-05-20 17:29:06

When IV's are rallying, we will generally see short term IV run up at a faster rate than longer term months (authors note: Some people like to call this the 'gamma of volatility' of VOMMA. I do not like that term since it is not truly related to vega. Instead I usually just weight the months so that I get a better idea of how the vega's of the short and long months will interact

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