Option Vega

Option Vega calculates the Vega value of an option using the Black-Scholes pricing model. Vega measures the expected change in the price of an option due to a 1-percentage point increase in the volatility of the underlying asset.

Vega can be used to monitor and anticipate the changes in an option's price relative to changes in the volatility of the underlying asset. This helps evaluate an option's value over time. Knowing an option's Vega value allows you to adjust, exit or hold a position knowing how much it will be affected by changes in the volatility of the underlying asset.