The measurement of an option's sensitivity to changes in the volatility of the underlying asset. Vega represents the amount that an option contract's price changes in reaction to a 1% change in the volatility of the underlying asset. Volatility measures the amount and speed at which price moves up and down, and is often based on changes in recent, historical prices in a trading instrument. Vega changes when there are large price movements (increased volatility) in the underlying asset, and falls as the option approaches expiration. Vega is one of a group of Greeks used in options analysis, and is the only one not represented by a Greek letter.


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One of the primary analysis techniques utilized in options trading is the Greeks – measurements of the risk involved in an options contract as it relates to certain underlying variables. Vega measures the sensitivity to the underlying instrument's volatility. Delta measures the sensitivity to the underlying instrument's price. Gamma measures the sensitivity of delta in response to price changes in the underlying instrument. Theta measures the time decay of the option.

  1. Theta

    A measure of the rate of decline in the value of an option due ...
  2. Zomma

    An options greek used to measure the change in gamma in relation ...
  3. Ultima

    The rate at which the vomma of an option will react to volatility ...
  4. Vomma

    The rate at which the vega of an option will react to volatility ...
  5. Hedge

    Making an investment to reduce the risk of adverse price movements ...
  6. Greeks

    Dimensions of risk involved in taking a position in an option ...
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