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Options Vega Explained: Why It Is Highest at the Money.
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ticker lesson
Breakdown
0:00lesson
Vega — sensitivity to volatility
- Vega measures option sensitivity to volatility
- Uncertainty drives Vega
- At-the-money options have highest uncertainty
1:39lesson
Vega peaks at at-the-money strikes
- Vega highest for at-the-money strike
- Uncertainty correlates with Vega
- Extrinsic value peaks at at-the-money
3:31AMZN· ticker
Amazon 255 strike — Vega peaks
- 255 strike has highest Vega
- Extrinsic value peaks at at-the-money
- Uncertainty drives Vega
5:23DIA· ticker
DIA 525 strike — Vega peaks
- 525 strike has highest Vega
- Extrinsic value peaks at at-the-money
- Uncertainty drives Vega
7:12lesson
Vega's role in risk assessment
- At-the-money strikes carry max uncertainty
- Vega reflects sensitivity to volatility
- Uncertainty = highest Vega
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