What Is the Relationship between an Option’s Delta and Its Vega?

Delta and vega are two different Greeks that measure different risks, but they are related. Delta measures the option's sensitivity to the price of the underlying asset, while vega measures its sensitivity to volatility.

Generally, at-the-money options have a delta around 0.50 and the highest vega. As an option moves deeper in-the-money, its delta approaches 1.0 (for calls) or -1.0 (for puts), and its vega decreases.

As it moves further out-of-the-money, its delta approaches zero, and its vega also decreases. The highest sensitivity to volatility (vega) occurs when the sensitivity to price direction (delta) is most uncertain.