Vega option greek

Vega reflects the dependence of the theoretical option price on the underlying asset volatility. In other words, Vega shows how much the option price will change if implied volatility changes by 1%.

Vega has the following properties

• Vega of calls and puts is positive, all options rise in price as volatility increases.
• In-the-money and out-of-the-money options typically have lower vega values compared to at-the-money options. As an option becomes further In-the-money or out-of-the-money, the vega value decreases. This implies that the price of these options is less sensitive to changes in implied volatility.

It should be borne in mind that, as a rule, the implied volatility for long-term options behaves more stable than for short-term ones.