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Vega
Full Definition
Measures the change in the price of an option for a given change in the volatility of the option. The vega for calls and puts is always positive because as volatility increases so do the value of calls and puts (that's the nature of risk). The vega of an option will decline as the expiry date approaches. An at the money option always has a greater vega than either an in the money or an out of the money option (for a given expiry date).
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