Value Date

The date as of which an Options transaction is settled.

Vanilla Option

A standard Put or Call Option that does not incorporate any special features. It can be described by specifying the Underlying asset and its price, the Option style (American or European), the Exercise Price and the Maturity.

Variance

A measure of the variability of the price of an instrument. Usually measured as the annualized variance of daily returns. Variance is the volatility squared. See Volatility, Historical Volatility and Implied Volatility.

Vega

Measurement unit for the change in value of an Option or Warrant resulting from a change in Volatility.

Volatility

A statistical measure for the fluctuations in price of an Underlying, expressed as an annualised value. The stronger the fluctuations, the higher the Volatility. If the Volatility of an Underlying reduces, the price of the Option or Warrant decreases even if the Spot Price of the Underlying remains unchanged. See Historical Volatility and Implied Volatility.

 

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