Vega
The amount that the price of an option changes compared to a 1% change in volatility. Investopedia Says:
Vega changes when there are large price movements in the underlying asset and vega falls as the option gets closer to maturity. Vega can change even if there is no change in the price of the underlying asset, this would happen if there is a change in expected volatility.
For example, if the vega of an option is -96.94 and if implied volatility were to rise by 1% then the option value would fall by $96.94. Related Terms:
Greeks
Hedge
Lambda
Option
Theta
Volatility |