- CFA Exams
- CFA Level I Exam
- Topic 7. Derivatives
- Learning Module 32. Valuation of Contingent Claims
- Subject 6. Option Greeks and Implied Volatility
CFA Practice Question
When an option is near-the-money, ______
II. vega is larger than the vega when the option is deep-out-of-the-money.
I. vega is larger than the vega when the option is deep-in-the-money.
II. vega is larger than the vega when the option is deep-out-of-the-money.
Correct Answer: I and II
User Contributed Comments 5
| User | Comment |
|---|---|
| danlan2 | Vega is larger when an option is near the money. |
| mchu | Vega is the greatest for an option near-the-money. |
| tabulator | Vega is the bloody HUGEST for an option near-the-money!(in case you didn't get it) |
| fubar | thats pretty huge |
| birdperson | !BLOODY HUGEST! |