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Options greeks provide a way to quantify the risk profile of the underlying options, which allows us to effectively arbitrage these similar instruments.

What can we say about the vega of an ATM option?

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As volatility increases, what happens to the price of an option?

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Which of the following is not a good approximation for delta of a call option?

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When the stock is trading at $115, the put option on the $113 strike with 30 days to expiry is worth $1.34. It has a delta of -0.3357 and a gamma of 0.062.

How much would the put option be worth if the underlying increases to $117?

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