Vanna: The Cross-Greek - Quant Trader Interview Question
Difficulty: Hard
Category: Options & Greeks
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: options, greeks, vanna, volatility, delta, risk-management
Problem Description
You are a derivatives trader evaluating the risk of a short call option position. The option's price is sensitive to both changes in the underlying asset's price and the implied volatility. Define Vanna and explain its significance in managing this risk. Specifically, how does Vanna quantify the relationship between the option's Delta and implied volatility?
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