Which Option Greek Measures Sensitivity to Implied Volatility?
The option Greek that measures sensitivity to implied volatility (IV) is Vega. Vega quantifies the change in the option's price for a one-percent change in the underlying asset's IV.
Options with a higher Vega are more sensitive to changes in market expectations of future volatility.
Glossar
Vega
Sensitivity ⎊ Vega, within the context of cryptocurrency options and financial derivatives, quantifies the rate of change in an option’s price with respect to changes in the underlying asset’s implied volatility.
Sensitivity
Delta ⎊ This fundamental measure quantifies the first-order sensitivity of a derivative's price to a marginal change in the underlying asset's price.
Market Expectations
Sentiment Indicator ⎊ Market Expectations refers to the aggregated, forward-looking sentiment of all participants regarding the future price trajectory, volatility, and adoption rate of a specific crypto asset or the broader market.
Greek Measures
Sensitivity ⎊ These parameters quantify the rate of change of an option's price with respect to various underlying market factors, providing a granular view of derivative risk beyond simple price movement.
Sensitivity to Implied Volatility
Vega Exposure ⎊ Sensitivity to Implied Volatility, within cryptocurrency options, represents the degree to which an option’s price changes in response to a one percent shift in implied volatility of the underlying asset.
Greek
Sensitivity ⎊ : These are the first-order partial derivatives of an option's price with respect to underlying parameters, providing a measure of risk exposure.