Options Greeks
What is Vega and how does it measure an option contract's price sensitivity to changes in Implied Volatility?
By Easy Money Scanner · Educational reference · Not investment advice
The short answer
Vega measures how much an option's price is expected to change for each one percentage point move in implied volatility, holding the stock price and time constant.
How it works
Long option positions, both calls and puts, have positive vega and benefit from rising implied volatility, while short option positions have negative vega and benefit from falling implied volatility.
An example
An option with a vega of 0.10 would gain roughly $10 per contract in value if implied volatility rises by one percentage point, other factors unchanged.
Risk & limitations
Vega exposure is highest for at-the-money, longer-dated options, so volatility crush around earnings can hurt long option holders even if directional price moves are favorable.
Examples are hypothetical, not trade recommendations. US contract and regulatory references do not automatically apply in Canada. Rules, margin requirements and broker policies can change; confirm them with the relevant authority and your broker.