Option Vega Calculator
Vega measures the sensitivity of an option's price to changes in implied volatility. It is one of the most practically important Greeks because implied volatility often changes significantly even when the stock price barely moves. A vega of 0.15 means the option gains $0.15 in value for every 1 percentage point increase in implied volatility. Long option positions (both calls and puts) are long vega: they benefit from volatility expansion. Short option positions are short vega: they profit when volatility contracts. The full Black-Scholes vega formula is S * phi(d1) * sqrt(T), divided by 100 to express it per 1% volatility change rather than per 1 unit (100%) change. Longer-dated options have substantially higher vega than short-dated ones.
Vega formula
d1 = [ln(S/K) + (r + sigma^2/2)*T] / (sigma*sqrt(T))
Vega (per unit vol) = S * phi(d1) * sqrt(T)
Vega (per 1% vol change) = S * phi(d1) * sqrt(T) / 100
Where phi(d1) is the standard normal PDF evaluated at d1. Vega is identical for European calls and puts. The result is the price change per 1 percentage point change in annualized implied volatility.
Vega in practice
- Vega is highest for at-the-money options and for options with more time to expiration.
- Buying options ahead of earnings announcements is a vega play: expecting a volatility increase.
- Selling options after implied volatility spikes captures elevated vega as a premium seller.
- A vega of 0.20 on 10 contracts (1,000 shares) means a 1% IV increase profits $200.
- Vega decreases as an option moves far in or out of the money.
Frequently asked questions
What is option vega?
Vega measures how much an option's price changes for a 1 percentage point increase in implied volatility. A vega of 0.20 means the option price rises $0.20 if implied volatility increases from 20% to 21%.
Is vega the same for calls and puts?
Yes. By put-call parity, calls and puts with the same underlying, strike, expiration, and other parameters have identical vega. Both long calls and long puts gain value when implied volatility rises.
Which options have the highest vega?
At-the-money options and longer-dated options have the highest vega. Longer time to expiration means more uncertainty about the future, so volatility has a larger effect. Deep in- or out-of-the-money options have lower vega.
What does long vega mean?
Long vega means your position gains value when implied volatility rises. Option buyers are long vega. Option sellers are short vega: they profit if volatility falls after selling the option but lose if volatility rises.
How is vega expressed?
Vega is the dollar change in option value per 1 percentage point (1%) change in annualized implied volatility. Some sources express it per 1 decimal point (0.01) change in volatility; this calculator uses the per-1% convention.
Official sources
- Black, F. and Scholes, M. (1973). "The Pricing of Options and Corporate Liabilities." Journal of Political Economy 81(3): jstor.org/stable/1831029.
- CBOE Options Institute: cboe.com/education.
Reviewed by the CalculatorHub team, edited by James Graham, 15 June 2026. See our methodology.