Vega
- Japanese
- ベガ
- Last reviewed
- September 25, 2026
This is a draft, shown for review before publication.
Vega is a measure of how much an option's price changes when the volatility of the underlying asset moves a little. A call option and a put option with the same strike price and expiry have the same vega, and vega is large when the underlying price is near the strike price.
Related terms
Explained in detail
Pages that use this term
- Basket Options
- FX Barrier Options
- Variance Swaps and Volatility Swaps
- Cliquets
- The Black-Scholes Model
- Implied Volatility
- Volatility Smiles and Surfaces
- The Black and Bachelier Models
- ISDA SIMM: The Standard Model for Initial Margin
- Local Volatility Models
- Adjoint Algorithmic Differentiation (AAD)
- Delta Hedging
- Managing Gamma and Vega
- Volatility Trading
- Sensitivities: DV01, Vega and Key Rate Sensitivities
- P&L Attribution
- Daily Valuation and P&L Sign-Off
- The Fundamental Review of the Trading Book (FRTB)