10 replies to this topic

[arbman]

That's right it is VEGA, NOT gamma. All I wanted to say was that the volatility from friday's rally came to an end (and maybe not) , in any case, the option sellers started to mark down the expensive premiums from the rally a bit. What Tommy is describing is a slightly different issue and that's the trend of the implied volatility ahead of the news, but what dowveda observed should be largely due to the 2 day spike and subsequent pull back... I am using a binomial tree...