Vega
Also called: option vega
Roughly how much an option's price changes for a 1-percentage-point change in implied volatility.
Vega is largest for at-the-money options with plenty of time left. A fall in implied volatility after an event can cut an option's value even when the price moves the right way.
Example
With vega of ₹2, a 5-point fall in implied volatility lowers the premium by about ₹10.
Learn more in these lessons
- Theta, time decay and vegaWhy can an option lose value even when the share moves the right way?
Related terms
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