A measurement of the sensitivity of an option’s value to a change in volatility. Volatility drives price changes in options. Vega measures how much the price of an option will change when volatility increases or decreases. The higher the vega, the more sensitive the price of the option is to volatility and its risk increases. See also volatility.
Other Word Forms of Vega
Origin of Vega
From Medieval Latin, from Arabic واقع (wāqi"˜, falling), from the expression النسر الواقع (an-nasr al-wāqi"˜, falling eagle). The active participle واقع derives from the verb وقع (wáqa"˜a, to fall, drop, tumble, alight, pounce).
Medieval Latin from Arabic (an-nasr) al-wāqi‘ the falling (eagle), Vega al- the wāqi‘ falling active participle of waqa‘a to fall wqʕ in Semitic roots
From American Heritage Dictionary of the English Language, 5th Edition
Perhaps chosen arbitrarily as a word beginning with "v" (for "volatility") that sounds as if it could be a Greek letter (like the related risk parameters "delta", "gamma" etc.)
From Spanish vega (“meadow, fertile lowland"), which see for more information.
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