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Vega measures how much an option's price is expected to change for every 1 percentage point change in implied volatility — the Greek that connects an option's price to the market's expectation of future movement, not the movement itself.

Vega is always positive for a bought option and negative for a sold one, for both calls and puts alike. A Vega of 13.2 means the option is expected to gain about 13.2 points of value if implied volatility rises by 1 percentage point (say, from 13% to 14%), with the underlying's price and time to expiry both held fixed. This is the one Greek that isn't about where the underlying goes — it's about how uncertain the market currently expects that path to be.

1. Positive Vega benefits from rising IV. A long option position gains value if the market becomes more uncertain about the future, even if the underlying itself hasn't moved yet.
2. Negative Vega benefits from falling IV. A short option position gains value as uncertainty fades, which is exactly what happens after a big known event (like an earnings release or a central bank decision) passes — a pattern commonly called "IV crush."
3. Vega is quoted per 1 percentage point of IV, so a 5-point jump in IV has roughly 5x the effect of a 1-point jump, all else equal.

Using the same setup as the Delta, Gamma, and Theta pages: Nifty at 24,000, 7 days to expiry, 13% implied volatility. The at-the-money 24,000 call has a Vega of 13.219.

1. Implied volatility rises by 1 percentage point, from 13% to 14%, with Nifty and time to expiry unchanged.
2. Vega predicts the option gains roughly 13.219 points of value, or ₹859.24 at a 65 lot size — purely from that IV move, with the underlying itself flat.
3. This was checked against the full option-pricing formula directly, not just taken from Vega's own formula in isolation — recomputing the option's price with IV raised from 13% to 14% and comparing the two prices gives a change that matches Vega's prediction to within a rounding error.

Using the same Nifty setup across a range of strikes:

Like Gamma, Vega peaks at the at-the-money strike and is identical for a call and a put at the same strike — at-the-money options have the most time value at stake, and so the most to gain or lose as the market's volatility expectations shift.

Holding spot, strike (at-the-money, 24,000), and 13% IV fixed, and only changing days to expiry:

This is the opposite direction from Gamma and Theta, both of which grow as expiry nears — Vega shrinks instead, from 27.1 at 30 days out to just 5.0 at 1 day out. The reasoning is straightforward: with only a day left, there's very little time remaining for a change in expected future volatility to actually matter, so the option's price becomes far less sensitive to IV the closer it gets to expiry.

Vega is where the difference between a pure volatility strategy and a range-bound one shows up most clearly. Using this site's own Long Straddle worked example (buy call and put, both at the 24,000 strike):

Net Vega = 13.219 (call) + 13.219 (put) = +26.438 per share, or roughly +₹1718.47 at a 65 lot size, for every 1-point rise in IV.

Now compare that to this site's own Iron Condor worked example (same four strikes used on the Delta and Theta pages):

Summing the position Vega column: −7.947 + 4.405 − 9.318 + 5.745 = -7.115 per share, or roughly ₹-462.5 per 1-point IV move at a 65 lot size. The Iron Condor's net Vega is small and negative, versus the Long Straddle's large positive Vega of 26.438 — a real, computed confirmation of why a Long Straddle is a volatility-buying trade and an Iron Condor is closer to volatility-neutral, tilted slightly toward preferring falling IV.

• Long volatility strategies are Vega-positive — a Long Straddle, Long Strangle, or Long Guts all benefit from rising IV, confirmed directly above for the straddle.
• Short volatility strategies are Vega-negative — a Short Straddle or Short Strangle lose value if IV rises, even if the underlying stays exactly where it started.
• Defined-risk, range-bound strategies like an Iron Condor sit closer to Vega-neutral, as shown above — the long wings partially offset the short body's Vega exposure, though not perfectly.
• This is why traders often check IV levels before choosing between similar strategies — a straddle bought when IV is already elevated is fighting the same "IV crush" risk a Vega-negative seller hopes for.

• Vega exposure can dwarf the underlying's own movement, especially further from expiry — a position can lose money even if the underlying moves favorably, if IV drops sharply enough at the same time.
• "IV crush" is a real, common risk for option buyers around known events — implied volatility is often priced up ahead of an event and collapses right after it passes, hurting Vega-positive positions regardless of which way the underlying moved.
• Vega shrinks fast near expiry, as shown above, so a position's sensitivity to IV changes is very different a week before expiry than it is the day before.