Vol point
Definition · Level 5 · Greeks & volatility
Keep reading with Tradecraft
Without an account, you can read three definitions every 30 days. Tradecraft explains all 738 terms and strategies, with the lessons that teach them, flashcards that come back before you forget, quizzes and a payoff lab.
One percentage point of implied volatility (20% → 21%) — the unit vega and IV changes are quoted in. Not the same as a percent change in IV.
Example
IV 20 → 22 is +2 vol points, not +10%.
Where Tradecraft teaches it
Level 5 · Greeks & volatility, in the lesson “Vega, rho & the second-order Greeks”: Sensitivity to implied vol and rates, plus the three second-order names every desk uses.
Related terms
- CharmSecond-order Greek: change in delta as time passes (“delta decay”).
- RhoSensitivity of an option’s price to a 1-percentage-point change in interest rates: positive for calls, negative for puts, meaningful mainly for…
- VannaSecond-order Greek: change in delta per vol point (equivalently, change in vega per $1 move in the underlying).
- Vomma (volga)Second-order Greek: change in vega per vol point — convexity in volatility.
- 25-delta optionThe OTM call or put whose delta is ±0.25 — the standard reference strike for quoting skew; very roughly a 1-in-4 chance of finishing in the money.
- Black–ScholesEuropean option-pricing model using spot, strike, time, rates, dividends and volatility; assumes lognormal prices, constant vol, no jumps and…