Option Vega

Options
Updated Apr 2026 • Has calculator

The change in an option's price for a 1% increase in implied volatility.

What is Vega?

Vega (ν) measures how much an option's price changes when implied volatility rises by 1 percentage point. Vega is always positive and identical for calls and puts with the same inputs. It peaks for at-the-money options with long time to expiry. Traders who buy options are long vega (benefit from rising vol); option sellers are short vega. Vega helps quantify the volatility risk of an options position.

Formula

ν = S · φ(d₁) · √T / 100

Worked Example

Worked example — Apple Inc. (AAPL) — ATM option, representative Q1 2024

Representative Q1 2024 market conditions

Step 1  Stock price (S): $185, Strike (K): $185, σ = 28%, T = 0.25 yrs
Step 2  d₁ = 0.163, φ(0.163) = 0.393
Step 3  ν = 185 × 0.393 × √0.25 / 100 = 185 × 0.393 × 0.50 / 100
Step 4  ν = 36.35 / 100 ≈ $0.364 per share per 1% vol move
Step 5  → If AAPL implied vol rises from 28% to 29%, the option gains $0.36 per share ($36.40 per contract)

Source: Hull, J.C. — Options, Futures, and Other Derivatives, 11th ed., Ch. 19 (2024-01-15)

Calculate Vega

Current market price of the underlying stock

Option strike price

Annual risk-free rate

Time to expiration in years

Annualised implied volatility

Vega (per 1% vol)

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Not investment advice.

How to Interpret Vega

< 0.1
Low vega — short-dated or deep OTM/ITM option
0.1 – 0.3
Moderate vega — typical near-term ATM option
0.3 – 0.75
High vega — longer-dated or high-priced ATM option
> 0.75
Very high vega — LEAPS or large-cap ATM, vol-sensitive

📚 Options Basics — Complete the path

  1. Delta (Call)
  2. Gamma
  3. Theta (Call)
  4. Vega
  5. BS Call
Sources
  1. Hull, J.C. — Options, Futures, and Other Derivatives, 11th ed.
  2. Investopedia — Vega