Option Greeks
Vega (V)
How much volatility moves your option — the Greek behind IV crush and event trades.
Definition
Vega measures how much an option's price changes for a 1 percentage-point change in implied volatility. Higher vega means the option is more sensitive to shifts in the market's volatility expectations.
Vega is largest at the money and for longer-dated options — those premiums move most when IV shifts.
Behaviour
- Largest for at-the-money and longer-dated options.
- Long options have positive vega (gain when IV rises); short options have negative vega.
A quick example
An option with vega 8 will gain about 8 if IV rises 1% and lose about 8 if IV falls 1% — even if the underlying doesn't move at all.
Why it matters
Vega explains IV crush: after an event, IV collapses and high-vega options lose value fast regardless of direction. Volatility traders manage vega as carefully as direction.
See vega vs volatility
TradePulse's Greeks calculator shows how vega changes premiums as IV moves.