{"id":1974341,"date":"2014-04-14T15:26:41","date_gmt":"2014-04-14T09:56:41","guid":{"rendered":"http:\/\/stockviz.biz\/index.php\/?p=1974341"},"modified":"2014-04-14T15:26:41","modified_gmt":"2014-04-14T09:56:41","slug":"forensics-nifty-options-vega","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2014\/04\/14\/forensics-nifty-options-vega\/","title":{"rendered":"Forensics: NIFTY Options \u2013 Vega(&kappa;)"},"content":{"rendered":"<p>Vega(\u03ba) is the sensitivity of an option\u2019s value to underlying volatility(\u03c3). \u03c3 is one of the main drivers of change in an option\u2019s value and so \u03ba allows you to quantify this particular risk.<\/p>\n<p>For example, a \u03ba of 1178.50 when the model price is Rs.188.92 and \u03c3 is 0.185 implies that if \u03c3 rises by 1% to 0.195, then the price will increase to Rs.188.92 + 1178.50\/100 = Rs.200.705<\/p>\n<ul>\n<li>\u03ba increases as volatility increases<\/li>\n<li>\u03ba for a long term option is higher than the \u03ba for a shorter term option with the same strike<\/li>\n<li>an at-the-money option will have a greater \u03ba than either an in-the-money option or an out-of-the-money option<\/li>\n<li>\u03ba is the same value for calls and puts<\/li>\n<\/ul>\n<h3>Vega in action: March 2014 NIFTY Options since Jan<\/h3>\n<p>First, lets look at the underlying:<\/p>\n<p><a href=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/NIFTY.png\" target=\"_blank\"><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-full wp-image-1973941\" alt=\"NIFTY\" src=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/NIFTY.png\" width=\"745\" height=\"575\" srcset=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/NIFTY.png 745w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/NIFTY-300x231.png 300w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/NIFTY-388x300.png 388w\" sizes=\"auto, (max-width: 745px) 100vw, 745px\" \/><\/a><\/p>\n<p>To capture the full move of the NIFTY, you\u2019ll have to look at, at least, a dozen strikes between 5950 and 6900.<\/p>\n<p><strong>\u03ba:<\/strong><\/p>\n<p><a href=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/March-2014-NIFTY-Vega.png\" target=\"_blank\"><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-full wp-image-1974351\" alt=\"March 2014 NIFTY Vega\" src=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/March-2014-NIFTY-Vega.png\" width=\"1024\" height=\"768\" srcset=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/March-2014-NIFTY-Vega.png 1024w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/March-2014-NIFTY-Vega-300x225.png 300w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/March-2014-NIFTY-Vega-400x300.png 400w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/March-2014-NIFTY-Vega-900x675.png 900w\" sizes=\"auto, (max-width: 1024px) 100vw, 1024px\" \/><\/a><\/p>\n<h6 class=\"zemanta-related-title\" style=\"font-size: 1em\">Related articles<\/h6>\n<ul class=\"zemanta-article-ul\">\n<li class=\"zemanta-article-ul-li\"><a href=\"http:\/\/stockviz.biz\/2014\/04\/14\/forensics-nifty-options-gamma\/\" target=\"_blank\">Forensics: NIFTY Options \u2013 Gamma(\u03b3)<\/a><\/li>\n<li class=\"zemanta-article-ul-li\"><a href=\"http:\/\/stockviz.biz\/index.php\/2014\/04\/14\/forensics-nifty-options-delta\/\" target=\"_blank\">Forensics: NIFTY Options \u2013 Delta(\u03b4)<\/a><\/li>\n<li class=\"zemanta-article-ul-li\"><a href=\"http:\/\/stockviz.biz\/index.php\/2014\/04\/13\/forensics-nifty-options-theta-decay\/\" target=\"_blank\">Forensics: NIFTY Options \u2013 Theta(\u03b8) Decay<\/a><\/li>\n<li class=\"zemanta-article-ul-li\"><a href=\"http:\/\/stockviz.biz\/2014\/04\/12\/forensics-nifty-options\/\">Forensics: NIFTY Options<\/a> (stockviz.biz)<\/li>\n<\/ul>\n<div class=\"zemanta-pixie\" style=\"margin-top: 10px;height: 15px\"><img decoding=\"async\" class=\"zemanta-pixie-img\" style=\"border: none;float: right\" alt=\"\" src=\"http:\/\/img.zemanta.com\/pixy.gif?x-id=f92fcdaf-e5c0-4cc5-b41d-e1091da38f8b\" \/><\/div>\n","protected":false},"excerpt":{"rendered":"<p>Vega(\u03ba) is the sensitivity of an option\u2019s value to underlying volatility(\u03c3). \u03c3 is one of the main drivers of change in an option\u2019s value and so \u03ba allows you to quantify this particular risk. For example, a \u03ba of 1178.50 when the model price is Rs.188.92 and \u03c3 is 0.185 implies that if \u03c3 rises &hellip; <\/p>\n","protected":false},"author":2,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[9],"tags":[3361,1200],"class_list":["post-1974341","post","type-post","status-publish","format-standard","hentry","category-your-money","tag-forensics","tag-options","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/1974341","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=1974341"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/1974341\/revisions"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=1974341"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=1974341"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=1974341"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}