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Straddle vs strangle - Vega

Quantitative Finance Level 2

The stock is currently trading at 30. Which option strategy has the most (positive) vega?

The options all have the same expiry date.

Long the 28-32 strangle Short the 28-32 strangle Long straddle on the 30 strike Short straddle on the 30 strike

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by Calvin Lin

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