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Vega |
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Vega A term that describes the sensitivity of the option price to a one-percent change in volatility. Vega In the Black-Scholes Model, the amount of change to the price of an option contract as a result of a 1% change to the implied volatility of the underlying. The vega is calculated mathematically, and can be large in a new options contract. The vega tends to decline closer to the expiry date of the contract. It is not necessary for the price of the underlying to change in order for the vega to change; only the expected volatility of the underlying needs to change. The concept of vega is one of the three Greeks often used in the Black-Scholes Model. See also: Delta, Theta.
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