1a.The Equity Corporate Derivatives intends to bid on a $300m, 7Y, call spread overlay with stikes 150%-

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1a.The Equity Corporate Derivatives intends to bid on a $300m, 7Y, call spread overlay with stikes 150%- 160%. Estimate the max vega and explain (no need to have an accurate number, only an estimate)

b.Same question, where the strikes are 120% - 180%

Posted Date: May 18, 2024 08:03 AM

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1a.The Equity Corporate Derivatives intends to bid on a $300m, 7Y, call spread overlay with stikes 150%-

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