Implied volatility Vega
Vegameasuresthesensitivityoftheoptionpricetoa1%changeintheimpliedvolatility.Theunitsofvegaare$/σ;however,liketheotherGreeks,theunits ...,Vegaistheshiftinoptionvaluecausedbyanincreaseinimpliedvolatilityof1%or1volpoint.YouareLongVegaifyouarelongano...
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Vegameasurestherateofchangeofpremiumwithchangeinvolatility.Readabouthistorical&impliedvolatilitywiththeexampleofIndiaVIX.
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