Effects of IMPLIED VOLATILITY (IV) on Option Greek VEGA – With Past DATA and CHARTS

The following is the behavior of Vega in relation to Implied Volatility (IV) changes: Vega is higher when volatility increases, particularly for ITM and OTM options. However, Vega is relatively stable / unchanged for ATM option. 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...

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