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Vega |
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A measure of the rate of change in an option's theoretical value for a one-unit
change in volatility. (Also known as Kappa.) |
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Vertical spread |
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Most commonly used to describe the purchase of one option and writing of
another where both are of the same type and of the same expiration month,
but have different strike prices. Example: buying 1 XYZ May 60 call and
writing 1 XYZ May 65 call. (See also Bull spread and bear spread.)
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Volatility |
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A measure of the fluctuation in the market price of the underlying asset.
Mathematically, volatility is the annualized standard deviation of returns.
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