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Vega

The sensitivity of an option's premium to a change in implied volatility.

Formula

ν=∂C∂σ

Sigma is implied volatility. Vega is positive for any bought option, call or put alike.

How to read the number

It shows what a revision of market expectations about future swings costs the position, even while the price of the underlying stands still.

When the metric lies

Also known as: option vega

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