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Level II
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Derivatives
Derivatives
Medium
Pinecrest Capital holds a portfolio of long call options on Ashland Corp with a total position vega of +8,200. If Ashland's implied volatility decreases from 28% to 24%, the approximate impact on the portfolio value is:
A
A loss of approximately $32,800
B
A gain of approximately $32,800
C
A loss of approximately $8,200
D
A gain of approximately $8,200
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Tags
#vega
#implied-volatility
#greeks
#portfolio-risk
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