How is vega calculated?

Vega = S x N'(d1) x sqrt(T). It represents the change in option price per 1% change in implied volatility. ATM options have highest vega; deep ITM or OTM options have low vega.

What is a typical vega for a stock option?

For a $100 stock with 30% vol, 3-month ATM call: vega approximately $0.20 per 1% vol change. If vol rises from 30% to 31%, option gains $0.20 in value (positive vega position is long volatility).

Vega Volatility Sensitivity Calculator

Calculate option vega - the sensitivity of option price to 1% change in implied volatility. Vega is highest for ATM options with long time to expiry.

Principal ($)

Annual Rate (%)

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$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.

How to Use

Enter the values for the scenario you are assessing. Calculate option vega - the sensitivity of option price to 1% change in implied volatility. Vega is highest for ATM options with long time to expiry. Use the option vega result to inform your calculation.

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Frequently Asked Questions

How is vega calculated?

What is a typical vega for a stock option?