RT Journal Article
SR Electronic
T1 Negative Vega? Understanding Options on Spreads
JF The Journal of Alternative Investments
FD Institutional Investor Journals
SP 75
OP 78
DO 10.3905/jai.1999.318937
VO 1
IS 4
A1 Nikunj Kapadia
YR 1999
UL https://pm-research.com/content/1/4/75.abstract
AB During recent months, interest in the impact of various spread trades on hedge fund returns has increased. For instance, the option on a spread can decrease in value when the volatility of one of the assets of the spread goes up. This article explains theoretically why this may happen, and clarifies the market conditions under which an increase in the volatility of one of the assets may increase or decrease the value of the spread option.