Vega(ν)
Vega measures how much an option's premium changes for a 1% change in implied volatility — your exposure to fear and uncertainty.
ν = ∂(Option Price) / ∂(Implied Volatility) — ₹ per 1% IV changeWhat Vega Means
Vega measures how much an option's price moves when implied volatility (IV) changes by one percentage point. If a Nifty option has a Vega of 12 and IV rises from 14% to 15%, the premium gains about ₹12 — even if Nifty itself does not move. Vega is your exposure to the market's expectation of future movement.
Vega is highest for at-the-money options and for those with more time to expiry, because longer-dated, near-the-money options have the most room for volatility to play out.
Why Vega Matters
Buyers are long Vega — they profit when IV expands (fear rises). Sellers are short Vega — they profit when IV contracts. Before a known event, IV tends to inflate; after it, IV collapses. This collapse, called IV crush, is a Vega event that can lose money for buyers even when the index moves their way.
Vega in the Indian Market
India VIX is the headline gauge of Nifty IV, and it spikes ahead of RBI policy, the Union Budget, and election results, then crushes afterward. A long straddle bought before the Budget can be hammered by Vega on the result day as VIX collapses. Quintal Mind tracks live IV and India VIX alongside per-strike Vega so you can see how much volatility risk a position is carrying before an event.
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