sticky rules

[ajsa]

Hi David,

I have found it is hard to understand the impact of volatility smile on the calculation of the greeks.. could you pls explain? how does implied vol affect greeks like delta or vega (or the 2 sticky rules)?

thank you!

 

[David Harper CFA FRM]

Hi ajsa - This is a big topic and, while smile is relevant and Greeks are relevant, the impact of the smile on the Greeks is not very relevant to the exam and would require an essay. I awoke to 40+ questions today and, apologies, with one week to go i need to (rather ruthlessly) focus my assistance where it's most needed...thanks, David