For those who ignore vega, and many do, here's a little glimpse of how this little variable can really have a dramatic effect on your position.
So as you can see, Citigroup is having a heck of a day. Up 7.3%! If you bought long calls on Friday, you sure should be happy, right? Wrong. On the move up volatility went down dramatically. The vol is still extremely high, but way down since Friday. So your smart move directionally owning some long calls was actually a horrible move in hindsight.
I'm not advocating selling options just because volatility is high, I'm saying be aware of the effect that big movements in volatility has on your position. It's one thing to read about it, it's quite another to see it in real time.
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