Options Glossary: V

Vega

A measure of the rate of change in an option's theoretical value for a one-unit change in the volatility assumption. See also Kappa and Delta.

Vertical spread

Most commonly used to describe the purchase of one option and writing of another where both are of the same type and of same expiration month, but have different strike prices. Example: buying 1 XYZ May 60 call and writing 1 XYZ May 65 call. See also Bull (or bullish) spread and Bear (or bearish) spread.

Volatility

A measure of stock price fluctuation. Mathematically, volatility is the annualized standard deviation of a stock's daily price changes. See also Historic volatility, Individual volatility and Implied volatility

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