The change in an option's price based on the change in its implied volatility expressed in dollar terms For example, if stock XYZ has an option with a vega of 0 25, the option's price will change by $0 25 for each one percentage point change in the option's implied volatility
The measure of the change in an option's premium for a 1% change in the volatility of the underlying futures contract Equal to the change in premium divided by 1% change in volatility
The sensitivity that refers to the volatility of an option In general, the more time remaining until expiration, the more sensitive is the option to a change in underlying volatility
The change in the price of a derivative due to a change in volatility Also sometimes called kappa or lambda
Ratio which indicates the dependency of the option value on changes in the underlying volatility
The rate of change in the price of a derivative security relative to the volatility of the underlying security When vega is large the security is sensitive to small changes in volatility