Vega

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Vega

A term that describes the sensitivity of the option price to a one-percent change in volatility.
Copyright © 2012, Campbell R. Harvey. All Rights Reserved.

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.
Farlex Financial Dictionary. © 2012 Farlex, Inc. All Rights Reserved

vega

The change in an option's premium for a 1% change in the volatility of the underlying futures contract.
Wall Street Words: An A to Z Guide to Investment Terms for Today's Investor by David L. Scott. Copyright © 2003 by Houghton Mifflin Company. Published by Houghton Mifflin Company. All rights reserved. All rights reserved.
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