The Greeks · Lesson 04 of 7 · Concept
Vega
Vega is the premium change per one percentage point of implied volatility. The NIFTY 23,350 call on 23 September 2026 carried a vega of ₹11.88. Implied volatility fell from 11.15% to 8.22% that session, which removed about ₹34.80 from the premium while the index was rising.
NIFTY 23,350 CE, 23 September 2026 · implied volatility solved from the traded premium, both ends of the session
Move it
Black-Scholes, not market data — the premiums elsewhere in this topic were traded, these are what the model returns for the inputs you set.
Black-Scholes, European exercise, 6.5% risk-free rate. These are model outputs, not traded prices.
The input that moves a price with the market standing still
Delta, gamma and theta all respond to things you can see: the index moved, or a day passed. Vega responds to what the market is charging for uncertainty, which can change while the index does nothing at all.
The chart plots premium against implied volatility. It is close to a straight line for an at-the-money contract, which is why vega can be quoted as a single figure and applied across a few points of movement without much error.
Vega is largest at the money and largest with more time remaining — the opposite of gamma on the time axis. A long-dated contract is mostly a volatility position; a contract expiring this afternoon is barely one at all.
The session where vega beat delta
On 23 September 2026 the index rose 89.20 points, which is unambiguously good for a call. The 23,350 call gained ₹18.30, which is a fifth of what its delta implied.
The reason is in the volatility. Solved from the traded premiums, implied volatility opened at 11.15% and closed at 8.22%, a fall of 2.93 points. At ₹11.88 of vega that is about −₹34.80, against roughly +₹48.32 from delta.
Neither figure is a forecast and neither was wrong. They are two different sensitivities of the same price, and on that session they pointed in opposite directions with volatility nearly winning.
The implied-volatility column in our chain capture was empty for the whole of that session, so every volatility figure on this page is solved from the traded premium with the same Black-Scholes implementation the lab uses. The premiums are market data; the volatilities are derived from them.
Common questions
What is vega in options?
Vega is the change in an option premium for a one percentage point change in implied volatility. It is largest at the money and grows with time to expiry.
Can an option lose money when the market moves in its favour?
Yes. On 23 September 2026 a NIFTY call gained only ₹18.30 on an 89-point rise because implied volatility fell almost three points, which removed roughly ₹34.80 through vega.
Written and maintained by MarketCue research · Updated 9:30 AM IST · 23 October 2026
How these figures are produced
Every price on these pages was traded on the exchange and is read from our own option-chain capture, which records the NIFTY and SENSEX chains once a minute through the session. Each page names the session its figures come from.
Figures that a model produced rather than the market — the Greeks, implied volatility — are labelled as model outputs wherever they appear, and never presented beside traded prices without saying which is which. The pricing is checked against published reference values on every change.
Where our own data cannot support a claim, the page says so instead of generalising. MarketCue is not a registered investment adviser, research analyst or broker under SEBI regulations.