Vega Given Delta

The mapping is important for trading vanilla options. Observe that this function does not depend on or , just on . Quoting vega in % foreign will additionally remove the spot dependence. This means that for a moderately stable foreign termstructure curve, traders will be able to use a moderately stable vega matrix. I.e. for the vega matrix looks like this.

Mat/	50%	45%	40%	35%	30%	25%	20%	15%	10%	5%
1D	2	2	2	2	2	2	1	1	1	1
1W	6	5	5	5	5	4	4	3	2	1
1W	8	8	8	7	7	6	5	5	3	2
1M	11	11	11	11	10	9	8	7	5	3
2M	16	16	16	15	14	13	11	9	7	4
3M	20	20	19	18	17	16	14	12	9	5
6M	28	28	27	26	24	22	20	16	12	7
9M	34	34	33	32	30	27	24	20	15	9
1Y	39	39	38	36	34	31	28	23	17	10
2Y	53	53	52	50	48	44	39	32	24	14
3Y	63	63	62	60	57	53	47	39	30	18