Vega P&L
Definition · Level 5 · Greeks & volatility
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Profit or loss from a change in implied volatility: vega × 100 × contracts × the change in vol points.
Example
Position vega $120 per point, IV 32 → 24: −$960.
Where Tradecraft teaches it
Level 5 · Greeks & volatility, in the lesson “Vega: the price of insurance”: How much your option gains per point of implied volatility, and why long-dated options are mostly vega.
Related terms
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- Vol pointOne percentage point of implied volatility (20% to 21%): the unit vega and IV changes are quoted in.
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