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The sensitivity of an option price to volatility. Typically, options increase in value during periods of high volatility.

Vega is the measurement of the sensitivity of the options price or premium to change in volatility in the underlying. If volatility increases, the options value will increase; if volatility decreases, then the value of the option will decrease.

Additional Comments:

Vega tends to be strongest in the at-the-money options rather than in-the-money or out-of-the-money options.

Related Terms:

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