Historical Vega (Options)

Returns the vega Greek for an option contract on a specific historical date. Vega measures the option price sensitivity to a 1% change in implied volatility.

Parameters

Parameter Required Description
Symbol Yes Option symbol (OCC format)
OnDate Yes Historical date (DATE function or string)

Input Requirements

Use OptionSymbol() to generate the option symbol:

Parameter Source Example
Symbol OptionSymbol() output OptionSymbol("AAPL",DATE(2026,3,15),"Call",170)

Understanding Vega

Characteristic Description
Always positive Both calls and puts gain value with higher IV
Highest at ATM Vega peaks at-the-money
Decays near expiry Shorter-dated options have lower vega
Per 1% IV change Shows dollar change per 1pt IV move

Notes

  • Vega is typically quoted per 1% change in IV
  • Longer-dated options have higher vega
  • ATM options have the highest vega

Syntax

=opt_VegaHistorical(Symbol, OnDate)
Excel Desktop (Windows)

Examples

Using OptionSymbol() - RECOMMENDED
=opt_VegaHistorical(OptionSymbol("AAPL",DATE(2026,3,15),"Call",170),DATE(2025,12,15))
Using raw OCC symbol
=opt_VegaHistorical("AAPL240315C00170000", DATE(2025,12,15))
Put option vega (also positive)
=opt_VegaHistorical(OptionSymbol("AAPL",DATE(2026,3,15),"Put",170),DATE(2025,12,15))
Using cell references
=opt_VegaHistorical(A1, B1)
Calculate position vega exposure
=opt_VegaHistorical("AAPL240315C00170000", DATE(2025,12,15)) * 100 * 10
10 contracts

When to Use

  • Backtest volatility trading strategies
  • Analyze historical volatility exposure
  • Study vega changes over time
  • Calculate historical position Greeks
  • Analyze sensitivity to IV changes

When NOT to Use

Scenario Use Instead
Need current vega opt_Vega()
Need historical IV opt_ImpliedVolatilityHistorical()
Need historical delta opt_DeltaHistorical()
Need all Greeks at once opt_HistoricalOptionChain()

Common Issues & FAQ

Why is vega the same for calls and puts?

At the same strike and expiration, calls and puts have identical vega values. Both benefit from higher volatility.

Why is vega lower for short-dated options?

Options closer to expiration have less time for volatility to impact them, hence lower vega.

How do I calculate total vega exposure?

Multiply vega by 100 (shares per contract) by number of contracts: =Vega * 100 * Contracts

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