Vega (options)

Sun, 21 Jun 2026 00:00:00 +0000

Vega is the option Greek that measures how much an option’s premium changes for a one-point change in implied volatility, holding the underlying price and time to expiry constant. It is the sensitivity of the premium to the market’s expectation of future movement. Vega is positive for every long option, call or put, and negative for every short option; it is largest for at-the-money strikes and for longer-dated contracts, and it is the Greek that governs how an option reacts to a volatility event rather than to a price move.

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Vega (options)