What Is Vega?
Vega measures the sensitivity of an option's price to a 1-percentage-point change in implied volatility (IV). A Vega of 5 means the option's price changes by $5 for every 1% change in IV. All options have positive Vega — both calls and puts increase in value when volatility rises and decrease when it falls.
How Vega Works
In crypto, Vega is often the dominant Greek because implied volatility can shift dramatically — from 40% to 120% annualized in days. During volatility expansions (market crashes, major news), options can double in value from IV increase alone, even if the underlying hasn't moved toward the strike. This "vol expansion" effect is a key consideration for both buyers and sellers.
Why It Matters for Traders
Savvy crypto traders use Vega as a strategy tool: buying options before expected volatility events (earnings-like catalysts, halving, regulatory decisions) and selling options when IV is elevated and expected to decline. The concept of buying "cheap vol" (when IV is low) and selling "expensive vol" (when IV is high) is a core edge in crypto options markets.
