A term that describes the sensitivity of the option price to a one-percent change in volatility.
The sensitivity of a derivative product's value to changes in implied volatility, all other factors staying the same.
The change in an option's price resulting from changes in the volatility of the price for the underlying.
Vega indicates the effect of change in implied volatility. A warrant with a vega of 0.1 should theoretically gain (or lose) 0.1 in value for a 1% rise (or fall) in volatility.
A measure of the change in an option's price caused by changes in volatility.
The ratio of a change in the option price to a small change in the option volatility. (See also Theta).
The vega of an option measures the sensitivity of the option’s price to changes in the level of price volatility of the underlying instrument. The greater the volatility of the underlying instrument the higher chance the option has of being in the money before maturity which means that both calls and puts will tend to increase in value as volatility increases. Vega shows the increase in value that should be expected if the volatility goes up by one point.
The amount by which the price of an option changes when the volatility changes. Also referred to as volatility.
The rate of change of the price of a derivative or portfolio with the volatility of an underlying security... more on: Vega
The sensitivity that refers to the volatility of an option. In general, the more time remaining until expiration, the more sensitive is the option to a change in underlying volatility.
Is the measure of change in an option given a change in the volatility. Theoretically, it measures the instantaneous change in premium to the instantaneous change in volatility. In practice, it tends to be viewed as the change in premium given a 1 percent in volatility.
A measurement of how much an options price changes for a 1% change in volatility.
Measure of change in volatility in the gold price and its implications for an existing option exposure.
the change in the premium for a unit change in implied volatility
option risk parameter that measures the sensitivity of the option price to changes in the price volatility of the underlying instrument.
The rate of change of the price of an option with volatility.
Expresses the price change of an option for a one per cent change in the implied volatility.
The sensitivity of an options value to a change in volatility. Also known as Kappa. The first derivative of option worth with respect to volatility. See also Greeks
The rate of change in option premium for a 1% change in the volatility of the underlying.
A measure of the rate of change in an option's theoretical value for a one-unit change in the volatility assumption.
It is the rate of change of the value of the portfolio with respect to the volatility of the underlying asset.
The sensitivity of an option's value to a change in volatility.
The amount that the price of an option changes compared to a 1% change in volatility.
The measure of change in the value of an option compared with a change in volatility.