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Page 3 Q3. Same front ratio spread as in Q2. (Q2. Underlying at 4620. 4275 put trades at 25% IV (same put as 01). 4625 put trades at 19% IV. You set a put front ratio spread: long 1 put at 4625 strike and short 2 puts at 4275 strike.) 1 Q3a. What is the vega value for the 4625 put, 4275 put and the 1x2 front ratio as a whole (10 points)? Q3b. Consider the case that the IV curve gets elevated as well as becomes steepened after the selloff to 4500. Assume 4625 strike put IV goes up from 19% to 23%. IV for 4275 put goes up from 25% to 30%. What is the PnL due to vega for each leg of the put front ratio spread? What is the total vega PnL (10 points) Page 3 Q3. Same front ratio spread as in Q2. (Q2. Underlying at 4620. 4275 put trades at 25% IV (same put as 01). 4625 put trades at 19% IV. You set a put front ratio spread: long 1 put at 4625 strike and short 2 puts at 4275 strike.) 1 Q3a. What is the vega value for the 4625 put, 4275 put and the 1x2 front ratio as a whole (10 points)? Q3b. Consider the case that the IV curve gets elevated as well as becomes steepened after the selloff to 4500. Assume 4625 strike put IV goes up from 19% to 23%. IV for 4275 put goes up from 25% to 30%. What is the PnL due to vega for each leg of the put front ratio spread? What is the total vega PnL (10 points)

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