Vega
Vega measures how much an option's price changes for a one-point change in implied volatility. Long options are long vega (they gain when implied volatility rises); short options are short vega. Vega is the channel through which the market's changing expectation of movement reprices every contract on the chain.
Where delta and gamma describe sensitivity to the underlying's price, vega describes sensitivity to the market's priced-in expectation of future movement. A vega of 0.85 means a one-point rise in implied volatility adds about $0.85 to the option's value, all else equal.
Vega is largest for at-the-money options with more time to expiration. Near-expiry contracts, including 0DTE, carry small absolute vega - there is little time value left to reprice - but implied volatility on those contracts can swing so violently intraday that the percentage impact remains meaningful.
Vega matters for structure because dealer books aggregate it the same way they aggregate gamma: a dealer complex that is net short vega behaves differently into a volatility spike than one that is net long. Vega's cross-Greek, vanna, converts volatility changes into delta changes - and therefore into hedging flow in the underlying.
Frequently asked
Do 0DTE options have vega?
A little, in absolute terms - most of their value is near-term gamma and theta. But same-day implied volatility can move enough intraday that the percentage effect still matters.
What is the difference between vega and vanna?
Vega is the option price's sensitivity to implied volatility; vanna is the delta's sensitivity to implied volatility. Vanna is what turns a volatility move into dealer hedging flow in the underlying.
Related terms
This term is part of a bigger picture: Gamma Exposure, Explained — the complete guide →