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training_data/relevant/text/0efaf7b59aa04d171f86fbce00fef076bbab8a38bebc2296a50c54c0f2f37afe.txt

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+768 
+TABLE 37-6 
+Implied 
+Volatility 
+20% 
+30% 
+40% 
+50% 
+60% 
+70% 
+80% 
+Stock Price = I 00 
+Part VI: Measuring and Trading VolatHity 
+90-110 Call 
+Bull Spread 
+(Theoretical Value) 
+10.54 
+9.97 
+9.54 
+9.18 
+8.87 
+8.58 
+8.30 
+model, using the assumptions stated above, the most important of which is that the 
+stock is at 100 in all cases in this table. 
+One should be aware that it would probably be difficult to actually trade the 
+spread at the theoretical value, due to the bid-asked spread in the options. 
+Nevertheless, the impact of implied volatility is clear. 
+One can quantify the amount by which an option position will change for each 
+percentage point of increase in implied volatility. Recall that this measure is called 
+the vega of the option or option position. In a call bull spread, one would subtract the 
+vega of the call that is sold from that of the call that is bought in order to arrive at the 
+position vega of the call bull spread. Table 37-7 is a reprint of Table 37-6, but now 
+including the vega. 
+Since these vegas are all negative, they indicate that the spread will shrink in 
+value if implied volatility rises and that the spread will expand in value if implied 
+TABLE 37-7 
+90-110 Call 
+Implied Bull Spread Position 
+Volatility (Theoretical Value) Vega 
+20% 10.54 -0.67 
+30% 9.97 -0.48 
+40% 9.54 -0.38 
+50% 9.18 -0.33 
+60% 8.87 -0.30 
+70% 8.58 -0.28 
+80% 8.30 -0.26