vega Hear it!

vega definition - finance
A measurement of the sensitivity of an optionÂ’s value to a change in volatility. Volatility drives price changes in options. Vega measures how much the price of an option will change when volatility increases or decreases. The higher the vega, the more sensitive the price of the option is to volatility and its risk increases. See also volatility.

Webster's New World Finance and Investment Dictionary Copyright © 2003 by Wiley Publishing, Inc., Indianapolis, Indiana.
Used by arrangement with John Wiley & Sons, Inc.

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