I thought option ‘C’ for the attached question.
As vega will have contradicting behavior in the given scenario. Near or at the money – Vega will be high. And near to maturity, Vega will be low. So I considered “w.r.to. time”, vega decreases. And w.r.to time and w.r.to. moneyness, absolute theta increases.
So please clarify my concern?
Cfai has misinterpreted the question.Tgeu failed to understand that we are approaching maturity.They only focussed on moneyness.You may mail it to them.
It seems like, the maturity view have been ignored in this question, bcoz as we reach towards the maturity, vega should be decreased and in case of ATM vega should be increased.
This is conflicting. You can mail it to CFA institute for the same.
Cfai has misinterpreted the question.Tgeu failed to understand that we are approaching maturity.They only focussed on moneyness.You may mail it to them.