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Straddle vs strangle - Vega

Quantitative Finance Level 1

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

The options all have the same expiry date.

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

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by Calvin Lin

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