What Does a High Vega Value Indicate for an Option Position?
Vega measures the sensitivity of an option's price to a 1% change in implied volatility. A high Vega value indicates that the option's price will change significantly if the market's expectation of future volatility shifts.
Options with longer times to expiration and those that are at-the-money typically have the highest Vega. A high Vega position is exposed to high volatility risk.
Glossar
Vega Value
Value ⎊ Vega value represents one of the primary options Greeks, quantifying the sensitivity of an option's price to a one-unit change in the underlying asset's implied volatility.
High Vega Value
Implication ⎊ High Vega value within cryptocurrency options and financial derivatives signifies a heightened sensitivity of an option’s price to changes in the underlying asset’s volatility, reflecting potential for substantial profit or loss.
High Vega Position
Exposure ⎊ A high Vega position signifies a substantial sensitivity to changes in the implied volatility of the underlying asset.