Definition of "vega" []

• A measurement of the sensitivity of the value of an option to changes in the implied volatility of the price of the underlying product. (noun)

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• "The notional value of AIG's derivatives book has decreased from more than $2 trillion at its peak to approximately $940bn now, with the gross "vega" - an industry measurement of volatility - on the remaining trades reduced by 75pc."
• "As Greig had mentioned, we do try to hedge those risks to the extent we can other than the so called vega risk."
• "Adopting this strategy on March options is a lot riskier than on a front-month September contract, Mr. Haslett said, because the time telescopes "vega," or volatility exposure."