Option Greeks: Vega
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Vega is a measure of the sensitivity of the option price to the volatility of the underlying asset.
It is expressed as the amount of money an option will gain or lose, with a 1% increase or decrease in volatility.
The higher the volatility, the higher is the value of the option. For example, an option with a 0.25 vega will gain 0.25% in value for 1% increase in the volatility of the underlying asset.
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