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
- Historical Volatility is measured by the closing prices of the stock/index
- Forecasted Volatility is forecasted by volatility forecasting models
- Implied Volatility represents the market participants’ expectation of volatility
- India VIX represents the implied volatility over the next 30 days period
- Vega measures the rate of change of premium with respect to change in volatility
- All options increase in premium when volatility increases
- The effect of volatility is highest when there are more days left for expiry
Delta 0.5 Gamma -0.5 theta.0.0006 Vega 0.15 totally values consider after buying or selling
You can look at it either when buying or selling, Ajeem.