Friday night junior derivatives trader interview question. Read the footnotes in the quoted thread before you wisecrack.https://twitter.com/bennpeifert/status/1264542177574584320 …
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Long wings and short belly in roughly 1:2:1 ratio (more accurate than that, I need to write stuff down). Surface has skew but no curvature so theta should be small and main determinant of PnL will be volga (squared implied vol move) and fly vega (ie wings up, belly down)?
0.9 : 2 : 1.1 is probably a better guess for the ratios given the skew
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Damn... you'd made a really good junior trader... How are your booking and coffee delivery skills?
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I know it is kind of cheating for me to answer these but I have never actually traded an option. Delta one only for this smooth brain!
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