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Vega

The Greeks describe an option's sensitivity to changes in different factors. Here we use ordinary stock options, with other pricing inputs held fixed.

Vega

Sensitivity to expected price swings

How does the option value change when implied volatility rises by one percentage point?

Expecting larger swings usually makes ordinary options more expensive; higher vega means a larger response to the same volatility change. Sensitivity is usually greater with more time remaining, and weaker near expiration.

View example

For example, with Vega = 0.12 and other factors unchanged:

  • Implied volatility rises 20% → 21%
  • The option price rises by about 0.12 yuan

These are local estimates. Option-price amounts are per share; multiply by the contract multiplier for one contract.

For the same option and quantity, a short position has the opposite Greek signs to a long position.

Several factors can change together: a call can lose value even as the stock rises if time decay or falling implied volatility outweighs the gain from the stock move.