b***k
发帖数: 2673 | 1 ☆─────────────────────────────────────☆
sidbal (hello) 于 (Fri Oct 26 19:58:42 2007) 提到:
an at-the-money option, expires in a month. If volatility increases, how
does the probability that the option will end in-the-money change?
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francis4321 (大佛) 于 (Fri Oct 26 20:08:40 2007) 提到:
intuitively,
vega>0 ==> when vol. goes up, options price will increase,
==> more weights are given to ITM cases,
i.e.,the probability(ending ITM) goes up.
an at-the-money | e********t
发帖数: 10 | 2 I think the probability should decrease as sigma increased, as N(d2)
decreases. The option price increases because incresing sigma will increase
the chance for deep ITM or deep bad OTM. The option owner benifits from deep
ITM and has limited downside risk for deep OTM. |
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