Module 5   Introduction to Options Trading (Video Series) → Chapter 10

Vega

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  1. 1 Introduction to Options
  2. 2 Option Jargons
  3. 3 Long Call Payoff and Short Call Trade
  4. 4 Put Buy and Put Sell
  5. 5 Summarizing Call & Put Options
  6. 6 Moneyness of option
  7. 7 The Option Greeks – Delta
  8. 8 Gamma
  9. 9 Theta
  10. 10 Vega
  11. 11 Options M2M and P&L calculation

10.1 – Vega of an Option

So far, in the series, we’ve learned about three option greeks—delta, gamma and theta. In this video, we’ll discuss vega—the fourth and final greek.

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We recommend reading this chapter on Varsity to learn more and understand the concepts in-depth.

Key takeaways from this chapter

  1. Historical Volatility is measured by the closing prices of the stock/index
  2. Forecasted Volatility is forecasted by volatility forecasting models
  3. Implied Volatility represents the market participants’ expectation of volatility
  4. India VIX represents the implied volatility over the next 30 days period
  5. Vega measures the rate of change of premium with respect to change in volatility
  6. All options increase in premium when volatility increases
  7. The effect of volatility is highest when there are more days left for expiry
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