Behaviour of VEGA in relation to TIME REMAINING TO EXPIRATION – With Past DATA and CHARTS

The following is the behavior of Vega in relation to Time to Expiration:Assuming all other things unchanged, Vega decreases as the option gets nearer to expiration.We’ll use the same past actual data as shown in the previous post on the behavior of Delta, namely:Options Chain for Call options of RIMM as at 3 Sep 2010, when the closing price is $44.78 and Implied Volatility (IV) is 54.05, for expiration month of Sep 2010 (10 days to expiration), October...

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