What is Vega in Options?

Vega measures an “option’s sensitivity” to changes in implied volatility (IV). It indicates the approximate change in an option’s price for a one-percentage-point change in implied volatility, with other variables held constant.

For example, 

• Suppose an option has a vega of ₹2 and implied volatility rises from 20% to 21%.
• Now, the option’s theoretical value would increase by approximately ₹2, assuming other factors remain unchanged.

Vega and Options Sensitivity to IV (Implied Volatility)

As per general market understanding, both call and put options have “positive vega”. Their premiums usually increase when implied volatility rises and decrease when implied volatility falls.

Additionally, Vega becomes particularly relevant around events that can cause changes in implied volatility, such as during major economic announcements, interest rate changes, and other market events.

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Vega measures how an option’s theoretical value may respond to changes in implied volatility. Trade246 gives you real-time market prices to monitor market movements around major events and changing market conditions.

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