Vega weighting
Definition · Level 5 · Greeks & volatility
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Scaling each expiry’s vega by √(30 ÷ days) to a 30-day equivalent, because short-dated volatility moves more than long-dated. The weighted total is a book’s P&L for a 1-point move in 30-day vol, with other expiries moving in proportion.
Example
Nominal +$2,000 vega; weighted −$417: a net short book.
Where Tradecraft teaches it
Level 5 · Greeks & volatility, in the lesson “Vega by expiry and weighted vega”: Why summing vega across expiries misleads, and how weighting by √time fixes it.
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