OPTION GREEKS : VEGA (ν)

VEGA (ν)

Vega measures the change in options price per unit change in Volatility. A Vega value of 6.87 shows that for every unit increase in volatility, option price will increase by 6.87. Thus, Vega shows effect of volatility on option price.

Vega important Points:

- Vega of Option is always positive.

- Vega of Call and Put Option is same.

- Vega is highest at ATM and decreases as Nifty moves away.

- Vega of Future is 0.

When you buy Call Option, Positive Vega multiplies by Positive Quantity, hence gives Positive Portfolio Vega which signifies that buying Call Option means Long Vega Position.

When you sell Call Option, Positive Vega multiplies by Negative Quantity, hence gives Negative Portfolio Vega which signifies that selling Call Option means Short Vega Position.

When you buy Put Option, Positive Vega multiplies by Positive Quantity, hence gives Positive Portfolio Vega which signifies that buying Put Option means Long Vega Position.

When you sell Put Option, Positive Vega multiplies by Negative Quantity, hence gives Negative Portfolio Vega which signifies that selling Put Option means Short Vega Position.

Buy Call	Vega Long
Sell Call	Vega Short
Buy Put	Vega Long
Sell Put	Vega Short