Visualizing Volatility Sensitivity in Delta hedged gains with TI Nspire

The TI Nspire calculator is a great platform for visualizing data via interactive graphs. The built-in facility like input slider for variable value adjustment allowed dynamic visualization to complex equations, like the volatility sensitivity in delta-hedged gains used financial investment. Since this strategy involved a single call option, the volatility exposure equals the vega value of the option.

The following setup on the Nspire provided the functions to calculate the vega values.

This spreadsheet input screen stores the spot prices and the calculated Black Scholes vega values.

Finally, with the data plotting screen the graph of Delta hedged gains of volatility sensitivity is completed. An additional slider control can easily be added on it to adjust an offset variable so as to visualize scenarios under different spot price.


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