Definitions

from Wiktionary, Creative Commons Attribution/Share-Alike License.

  • noun finance A measurement of the sensitivity of the value of an option to changes in the implied volatility of the price of the underlying product.

Etymologies

from Wiktionary, Creative Commons Attribution/Share-Alike License

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.)

Examples

  • The notional value of AIG's derivatives book has decreased from more than $2 trillion at its peak to approximately $940bn now, with the gross "vega" - an industry measurement of volatility - on the remaining trades reduced by 75pc.

    Telegraph.co.uk: news, business, sport, the Daily Telegraph newspaper, Sunday Telegraph

  • The notional value of AIG's derivatives book has decreased from more than $2 trillion at its peak to approximately $940bn now, with the gross "vega" - an industry measurement of volatility - on the remaining trades reduced by 75pc.

    Telegraph.co.uk: news, business, sport, the Daily Telegraph newspaper, Sunday Telegraph

  • The notional value of AIG's derivatives book has decreased from more than $2 trillion at its peak to approximately $940bn now, with the gross "vega" - an industry measurement of volatility - on the remaining trades reduced by 75pc.

    Telegraph.co.uk: news, business, sport, the Daily Telegraph newspaper, Sunday Telegraph

  • As Greig had mentioned, we do try to hedge those risks to the extent we can other than the so called vega risk.

    pfblogs.org: The Ad-Free Personal Finance Blogs Aggregator

  • As Greig had mentioned, we do try to hedge those risks to the extent we can other than the so called vega risk.

    SeekingAlpha.com: Home Page

  • Adopting this strategy on March options is a lot riskier than on a front-month September contract, Mr. Haslett said, because the time telescopes "vega," or volatility exposure.

    Commodities Inspire Bold Bets, Hedges

  • But "vega" signifies a fertile tract or field, and thus we have again the conception of communal lands, divided into lots improved by particular families, as the idea of communal tenure necessarily implies.] [Relocated Footnote 8: Zurita ( "Rapport," etc., etc., p. 50):

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  • A made-up Greek letter representing the partial derivative of the value with respect to volatility in the Black-Scholes equations. The second derivative is denoted by another invented letter, volga, and the derivative with respect to both volatility and price is vanna.

    September 17, 2008