The sensitivity of vega as a function of volatility to a change in volatility. It captures the deviation from a...

The vega value of a derivative instrument, a spread, or a position multiplied by the notional principal. It corresponds to...

A tool that measures the changes in vega resulting from changes in volatility (vol) levels. Vega, per se, captures the...

A measure that captures the premium difference between the value of an option calculated using the smile volatility and its...

A tool that measures the sensitivity of an option price to implied volatility. It is the change in an option's...

A tool that measures the changes in delta resulting from changes in volatility levels. Delta, per se, captures the change...

A volatility trading strategy that combines an at-the-money forward call (ATMF call) with an ATMF put with opposite deltas, in...

An abbreviation for keep it simple, stupid!. The language of derivatives (such as delta, DV01, vega, gamma, notionals, vol-vol, fugit,...

A portfolio of options which has a vega of zero. That is, the option combination implies a neutralized vega. This...

The amount of change in the price of an option in response to a 1% change in volatility of the...