Moontower Munchies #69
Big fan. Reading Colin Bennett's Trading Volatility and curious about this comment on page 47 "Thus, the same carry (profit from gamma less
cost of theta) is earned by going long a 20% implied option that realises 21% as by going
long a 40% implied option that realises 41%. The proof of this is below." I would love to get your insight.
Big fan. Reading Colin Bennett's Trading Volatility and curious about this comment on page 47 "Thus, the same carry (profit from gamma less
cost of theta) is earned by going long a 20% implied option that realises 21% as by going
long a 40% implied option that realises 41%. The proof of this is below." I would love to get your insight.