A Greek that measures how sensitive an option's price is to a 1% change in implied volatility.
Vega measures the change in an option’s premium for a one percentage point change in the implied volatility of the underlying asset. Options with more time to expiry generally have higher vega, making them more sensitive to shifts in market volatility. Traders monitor vega closely around events like earnings, budget announcements, or RBI policy decisions, when implied volatility can spike or collapse sharply.
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