Vega aur Gamma

Overview

Vega measures how much an option’s price changes when implied volatility moves. Gamma measures how fast delta itself changes as the underlying moves. Together they describe an option’s exposure to volatility and to large swings.

Key takeaways

• Vega is highest for at-the-money options with more time to expiry.
• A rise in implied volatility lifts both call and put premiums.
• Gamma is highest for at-the-money options near expiry.
• High gamma means an option’s delta can change very quickly around the strike.

For education only. Not investment advice.