Vega (Options Greek) Calculator

✖Change in Option Premium refers to the fluctuation in the price of an options contract due to alterations in factors such as the underlying asset's price, implied volatility, or interest rates.ⓘ Change in Option Premium [ΔV]			+10% -10%
✖Change in Volatility of Underlying Asset represents fluctuations in expected future price movements, influencing option prices accordingly.ⓘ Change in Volatility of Underlying Asset [Δσ]			+10% -10%

✖Vega represents the sensitivity of an option's price to changes in implied volatility, indicating how much the option's price will change for a one-point increase in volatility.ⓘ Vega (Options Greek) [ν]

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Formula

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Vega (Options Greek)

Formula

`"ν" = "ΔV"/"Δσ"`

Example

`"2"="2.5"/"1.25"`

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Vega (Options Greek) Solution

STEP 0: Pre-Calculation Summary

Formula Used

Vega = Change in Option Premium/Change in Volatility of Underlying Asset
ν = ΔV/Δσ
This formula uses 3 Variables

Variables Used

Vega - Vega represents the sensitivity of an option's price to changes in implied volatility, indicating how much the option's price will change for a one-point increase in volatility.
Change in Option Premium - Change in Option Premium refers to the fluctuation in the price of an options contract due to alterations in factors such as the underlying asset's price, implied volatility, or interest rates.
Change in Volatility of Underlying Asset - Change in Volatility of Underlying Asset represents fluctuations in expected future price movements, influencing option prices accordingly.

STEP 1: Convert Input(s) to Base Unit

Change in Option Premium: 2.5 --> No Conversion Required
Change in Volatility of Underlying Asset: 1.25 --> No Conversion Required

STEP 2: Evaluate Formula

Substituting Input Values in Formula

ν = ΔV/Δσ --> 2.5/1.25

Evaluating ... ...

ν = 2

STEP 3: Convert Result to Output's Unit

2 --> No Conversion Required

FINAL ANSWER

2 <-- Vega

(Calculation completed in 00.004 seconds)

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Created by Keerthika Bathula

Indian Institute of Technology, Indian School of mines, Dhanbad (IIT ISM Dhanbad), Dhanbad

Keerthika Bathula has created this Calculator and 50+ more calculators!

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Institute of Chartered and Financial Analysts of India National college (ICFAI National College), HUBLI

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< 20 International Finance Calculators

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Go FRA Payoff = Notional Principal*(((Underlying Rate at Expiration-Forward Contract Rate)*(Number of Days in Underlying Rate/360))/(1+(Underlying Rate at Expiration*(Number of Days in Underlying Rate/360))))

Put-Call Parity

Go Call Option Price = Spot Price of Underlying Asset+Put Option Price-((Strike Price)/((1+(Risk-Free Rate of Return/100))^(No. of Months/12)))

Optimal Hedge Ratio

Go Optimal Hedge Ratio = (Standard Deviation of Changes in Spot Price/Standard Deviation of Changes in Futures Price)*Correlation of Changes in Spot and Futures Prices

Option Premium

Go Option Premium = ((Share Option Warrant/Number of Securities Per Option Warrant)+(Purchase Price*100/Price Security-100))

Balance of Financial Account

Go Balance of Financial Account = Net Direct Investment+Net Portfolio Investment+Asset Funding+Errors and Omissions

Annualised Forward Premium

Go Annualised Forward Premium = (((Forward Rate-Spot Rate)/Spot Rate)*(360/No. of Days))*100

Balance of Capital Account

Go Balance of Capital Account = Surpluses or Deficits of Net Non-Produced+Non-Financial Assets+Net Capital Transfers

Current Account Balance

Go Current Account Balance = Exports-Imports+Net Income Abroad+Net Current Transfers

Uncovered Interest Rate Parity

Go Expected Future Spot Rate = Current Spot Exchange Rate*((1+Domestic Interest Rate)/(1+Foreign Interest Rate))

Covered Interest Rate Parity

Go Forward Exchange Rate = (Current Spot Exchange Rate)*((1+Foreign Interest Rate)/(1+Domestic Interest Rate))

International Fisher Effect using Interest Rates

Go Change in Exchange Rate = ((Domestic Interest Rate-Foreign Interest Rate)/(1+Foreign Interest Rate))

Optimal Number of Contracts

Go Optimal Number of Contracts = (Optimal Hedge Ratio*Number of Positions Hedged)/Futures Contract Size

Relative Strength Index

Go Relative Strength Index = 100-(100/(1+(Average Gain during Up Period/Average Loss during Down Period)))

Bid Ask Spread

Go Bid Ask Spread = ((Ask Price-Bid Price)/Ask Price)*100

International Fischer Effect using Spot Rates

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Vega (Options Greek)

Go Vega = Change in Option Premium/Change in Volatility of Underlying Asset

Theta

Go Theta = -Change in Option Premium/Change in Time to Maturity

Gamma

Go Gamma = Change in Delta/Change in Price of Underlying Asset

Rho (Options Greek)

Go Rho = Change in Option Premium/Change in Rate of Interest

Hedge Ratio

Go Hedge Ratio = Hedge Value/Total Position Value

Vega (Options Greek) Formula

Vega = Change in Option Premium/Change in Volatility of Underlying Asset
ν = ΔV/Δσ

What is Vega (Options Greek) ?

Vega, an essential component of options Greek, represents the sensitivity of an option's price to changes in implied volatility. When implied volatility increases, options tend to become more expensive due to the increased uncertainty about future price movements. Conversely, when implied volatility decreases, options generally become cheaper. Vega helps options traders and investors gauge the impact of changes in volatility on option prices, enabling them to adjust their strategies accordingly to manage risk and optimize potential returns. Understanding Vega is crucial for effectively navigating the complex world of options trading, as it provides insights into how market volatility can influence option valuations.

How to Calculate Vega (Options Greek)?

Vega (Options Greek) calculator uses Vega = Change in Option Premium/Change in Volatility of Underlying Asset to calculate the Vega, The Vega (Options Greek) measures the sensitivity of an option's price to changes in implied volatility, indicating how much the option's value will change for a one-point increase in volatility. Vega is denoted by ν symbol.

How to calculate Vega (Options Greek) using this online calculator? To use this online calculator for Vega (Options Greek), enter Change in Option Premium (ΔV) & Change in Volatility of Underlying Asset (Δσ) and hit the calculate button. Here is how the Vega (Options Greek) calculation can be explained with given input values -> 2 = 2.5/1.25.

FAQ

What is Vega (Options Greek)?

The Vega (Options Greek) measures the sensitivity of an option's price to changes in implied volatility, indicating how much the option's value will change for a one-point increase in volatility and is represented as ν = ΔV/Δσ or Vega = Change in Option Premium/Change in Volatility of Underlying Asset. Change in Option Premium refers to the fluctuation in the price of an options contract due to alterations in factors such as the underlying asset's price, implied volatility, or interest rates & Change in Volatility of Underlying Asset represents fluctuations in expected future price movements, influencing option prices accordingly.

How to calculate Vega (Options Greek)?

The Vega (Options Greek) measures the sensitivity of an option's price to changes in implied volatility, indicating how much the option's value will change for a one-point increase in volatility is calculated using Vega = Change in Option Premium/Change in Volatility of Underlying Asset. To calculate Vega (Options Greek), you need Change in Option Premium (ΔV) & Change in Volatility of Underlying Asset (Δσ). With our tool, you need to enter the respective value for Change in Option Premium & Change in Volatility of Underlying Asset and hit the calculate button. You can also select the units (if any) for Input(s) and the Output as well.

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