Definition of 'Vega'
A large price movement in the underlying asset will cause a change in Vega (i.e. increased volatility). The value of Vega will also change if volatility is expected to increase. In other words, the underlying asset's price does not need to change, just the expectation that it will change is sufficient to change the value of Vega.
All the Greeks: Delta, Gamma, Vega, Theta, Vomma
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