Filter by Categories
Accounting
Banking

Derivatives




Vega-Neutral Portfolio


A portfolio of options which has a vega of zero. That is, the option combination implies a neutralized vega. This setting offers a hedge against the implied volatility of the underlying. An investor willing to protect a portfolio from changes in the underlying volatility, the portfolio needs to be made “vega-neutral”. In general, a portfolio being vega-neutral doesn’t necessarily mean that it is also gamma-neutral, and vice versa.



ABC
Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
Watch on Youtube
Remember to read our privacy policy before submission of your comments or any suggestions. Please keep comments relevant, respectful, and as much concise as possible. By commenting you are required to follow our community guidelines.

Comments


    Leave Your Comment

    Your email address will not be published.*