فيغا هو مصطلح يُستخدم في عالم المال والأسواق المالية، خصوصاً في سياق خيارات التداول. يُشير فيغا إلى مدى حساسية سعر الخيار تجاه التغير في تقلبات السوق. بشكل عام، كلما زادت التقلبات، زادت قيمة الخيارات، وفيغا يعكس التغير في سعر الخيار عندما يتغير تقلب السوق بمقدار 1%. بمعنى آخر، فيغا يُظهر كيفية تأثير تقلب السوق على سعر الخيار.

Vega is a measure used to understand the sensitivity of an options contract price when the expected volatility of the underlying security changes.

Definition and Examples of Vega

Vega measures the sensitivity of the value of an options contract when the volatility of the underlying security changes by 1%. In other words, how much does a change in the assumed volatility affect the price of the option? Vega answers this question. It is a mathematical calculation that helps options traders align risk tolerance with the expected risks of an options contract.

Since implied volatility is used to determine the price of an options contract, an increase in the implied volatility of the underlying security leads to an increase in the price of the options contract. Therefore, if an investor anticipates volatile markets, Vega can be a valuable tool in understanding how the value of an options contract will change with fluctuations in the underlying security’s implied volatility.

For example, you may want to invest in call options on ABC Technology Inc. You are trying to decide between two call options:

Call Option #1: Contract value $5. Expected volatility 40%, with a Vega of 0.10.

Call Option #2: Contract value $5.50. Expected volatility 40%, with a Vega of 0.15.

In this example, the Vega is positive, indicating that if the expected volatility increases, the price will also increase. Thus, for every 1% increase in expected volatility, the price of the option will increase by the current Vega value – an increase of 10 cents for the first option and an increase of 15 cents for the second option.

Assuming the volatility of both options increases from 40% to 41%. This means that the price of each option will change as follows:

Call Option #1: Vega is 0.10, so the price will increase from $5 to $5.10.

Call Option #2: Vega is 0.15, so the price will increase from $5.50 to $5.65.

You prefer to choose the option that is expected to have a lower volatility price, so in this example, you choose to buy call option #1, which has a lower Vega.

Note: Vega is particularly useful for investors when buying options in volatile market conditions.

Alternatives to Vega

There are four other mathematical calculations in addition to Vega that investors refer to when discussing the Greeks. All are used to assess the risks involved in purchasing different options contracts. The four mathematical calculations that are alternatives to Vega are:

Delta: Delta measures the sensitivity of the options price to changes in the value of the underlying security. Once the stock price increases or decreases, Delta measures how that affects the price of the options contract on that stock.

Theta: Theta measures the rate of time decay of an options contract. In other words, it tells you how the price of the option decreases over time until expiration.

Gamma: Gamma is the derivative of Delta and measures the rate of change in Delta relative to the change in the price of the security. If the value of the security increases or decreases by one dollar, Gamma will indicate how much that will affect the options price.

Rho: Rho measures how current interest rates affect the price of an options contract. It indicates the rate of change in value for each 1% change in interest rates.

Note: Vega does not predict the movement of security or options contract prices (nor do any of the Greeks). It is a mathematical calculation that provides the best estimate of the future price movement of an options contract with fluctuations in implied volatility.

Vega vs. Implied Volatility

Implied volatility, also known as IV, is part of the formula used to price options contracts, while Vega is a Greek mathematical calculation used to measure how IV impacts the price of the option.

Vega of Implied Volatility (IV)

• Vega measures the sensitivity of the option price once the implied volatility changes
• IV measures the expected volatility of the underlying security in the future
• It is
• Derivative of implied volatility
• Derivative of option prices for a specific security
• It tells you how much the value of the option should move up or down based on a 1% change in IV
• It’s part of one of the formulas used to price an option contract

What does this mean for individual investors?

Investors who choose to buy options will benefit greatly from understanding how to use Vega to assess investment risk. When an investor understands how Vega works, they also learn that option premiums can be expected to be more volatile if the underlying stock is considered a riskier investment.

If the stock is deemed volatile, it can be expected that any options on that stock will likely be more volatile than the underlying stock price. Vega is the method to measure and compare this volatility among different options contracts.

Key Takeaways

Vega is a calculation used to measure the sensitivity of an option’s price to changes in implied volatility. It tells you how much option premiums will change with a 1% change in the implied volatility of the underlying stock. Vega is one of the Greek mathematical calculations used to assess risk when trading options. Vega alternatives include four other mathematical calculations: Delta, Theta, Gamma, and Rho. Vega differs from implied volatility in that it measures the sensitivity of an option’s price, while implied volatility measures the expected future volatility of the underlying security. Investors can benefit from understanding Vega, especially when trading options in a volatile market.

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Sources:

Merrill. “Vega.” Accessed Sept. 14, 2021.

Fidelity. “Get to Know the Greeks.” Accessed Sept. 14, 2021.

Robinhood. “What are Options Greeks?” Accessed Sept. 14, 2021.

Source: https://www.thebalancemoney.com/what-is-vega-5201230