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Bwb volatility increase

Discussion in 'Options' started by Venrcew, Aug 26, 2016.

  1. Venrcew

    Venrcew Well-Known Member

    Has a question about how an increase in volatility and fall in price affect bwb pnl. Say prior to increase in volatility the model showing a neg 100 at the lower be how much an increase in volatility lower the neg amount at the same strike?
     
  2. Marcas

    Marcas Well-Known Member

  3. Venrcew

    Venrcew Well-Known Member

    Thank you
     
  4. Paul Demers

    Paul Demers Well-Known Member

    Thanks for posting the link. I missed that presentation.
    Well done Kevin.
     

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