Glossary Detail: Vega
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Backtesting Vega on High-Beta Names
Sensitivity to implied volatility changes. A 1% IV increase adds Vega dollars to the option price.
Further Details:
Vega measures how much an option's price changes for each 1 percentage point change in implied volatility. A Vega of 0.10 means the option gains $10 per contract for each 1% increase in IV. Vega is highest for ATM options with longer expirations.