Option Greeks: Vega
Interactive

Option Greeks: Vega

Intuition Publishing Pty Ltd
Updated Sep 24, 2020

Vega measures the sensitivity of an option's value to changes in the volatility of the underlying asset. We look at the basic definition of vega, and give the various formulas for vega for the Black-Scholes family of European options. We then discuss the effects of option moneyness, and time to maturity on vega.

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