Option Vega is the change in the value of
an option for a 1-percentage point increase in implied volatility.
The vega of a long option position (both calls and puts) is
always positive.
At-the-money options have the greatest vega. The further an
option goes in-the-money or out-of-the-money, the smaller is
vega.
Vega Option and Time to expiration
As time passes, option vega decreases. Time amplifies the
effect of volatility changes. As a result, vega is greater
for long-dated options than for short dated options.
Vega Option and Volatility
As volatility falls, vega decreases for in-the-money and out-of-the-money options; vega is unchanged for at-the-money options.
阅读(769) | 评论(0) | 转发(0) |
