--- title: "Option Vega Explained: Weekly vs Monthly Nifty Expiry" description: "Vega on dated NSE Nifty chains: rupees per volatility point, why monthly options carry more, how IV moves by expiry, and what a high India VIX means." source_url: "https://www.rupeecase.com/learn/path-14/module-14-12-vega" --- [Path 14 12 of 17](/learn/path-14/)Vega: volatility exposure across weekly and monthly expiries[Next 14.13](/learn/path-14/module-14-13-rho) Sunday 1 Feb 2026 was Budget Day, and NSE held a special session. Nifty closed at 24,825.45 and India VIX at 15.10. The 25,000 call for the 24 Feb expiry settled at Rs 302.35 a unit. On Monday 2 Feb Nifty closed at 25,088.40, up 1.06%, and VIX fell to 13.87. The call settled at Rs 406.25, a gain of Rs 103.90. Delta alone predicted Rs 127.87. The missing money went to volatility. That is [vega](/learn/glossary#vega), and for a buyer it is the cost of the day after the news. 3By the end you can 1. Read vega as rupees per volatility point, per unit and per lot. 2. Compare vega and volatility moves across weekly and monthly expiries. 3. Split a one day change in an option price into delta, gamma, vega and theta. Watch in the terminal: how bumpy was the ride? A short tutorial on sample data. ## The idea, plainly Vega is how much an option gains when implied volatility rises by one point, for example from fifteen to sixteen percent. It is a price in disguise. Implied volatility is what the market pays for the chance of movement, and vega converts a change in it to rupees. A bought call or put has positive vega, a sold one negative vega, and a call and a put at one strike and volatility have the same vega. Read one more paragraph, 45 words Why should a buyer gain when volatility rises? A buyer's loss is capped at the premium while the gain is open ended, so a wider spread of outcomes is worth more to the buyer. A seller faces the mirror image: more movement is more risk. ### How vega scales with time The formula has the same pieces as gamma (module [I09](/learn/path-14/module-14-11-gamma)), with one new factor. Vega = DF * F * phi(d1) * sqrt(T) / 100 The new piece is sqrt(T) on top: more time, more vega. The bell curve phi(d1) is largest at the money, so vega peaks there too. Gamma rises as time runs out and vega falls, so they pull in opposite directions. Vega is a hump at the strike, and the more time left, the taller it stands Black 76 vega of the 23,250 call per lot of 65 units, for a one point change in volatility, at the volatility of the 10 Jun 2026 monthly chain. At the money, 48 days left gives Rs 2,180 a lot and one day left Rs 323. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026. ### Weekly against monthly That makes weekly and monthly expiries different animals. At the money on 10 Jun 2026, the option with 48 days left carried Rs 2,180 of vega a lot. On 29 Jun 2026 the option with one day left carried Rs 323. Time was 48 times longer and vega 6.8 times larger, close to the square root rule. The NSE option chain has no vega column. It shows the implied volatility of each strike, and vega is worked out from it, as the Greeks calculator below does. But vega is only half the exposure. You also need to know how far implied volatility itself moves, and that differs by expiry. ## Worked example: Budget weekend, 1 to 2 Feb 2026 The same four at the money calls, priced on both days. At the money means nearest the parity forward for the weekly expiries and nearest the future for the monthlies. The implied volatility is the at the money value of each chain. The last column is vega times the volatility move, for one lot of 65 units. | Expiry | Vega, 1 lot | IV, 1 to 2 Feb | Change | Effect, 1 lot | | --- | --- | --- | --- | --- | | 3 Feb, weekly | Rs 476 | 22.0% to 18.0% | −4.0 | −Rs 1,898 | | 10 Feb, weekly | Rs 1,008 | 16.7% to 14.3% | −2.5 | −Rs 2,488 | | 24 Feb, monthly | Rs 1,612 | 15.0% to 13.1% | −1.9 | −Rs 3,055 | | 30 Mar, monthly | Rs 2,545 | 12.7% to 12.3% | −0.4 | −Rs 984 | 2 terms this section turns on From the module glossary; every term is in the Learn glossary too. Source: Module 14.12, Vega: volatility exposure across weekly and monthly expiries. ### Who lost what The nearest expiry lost the most volatility, 4.0 points, and the furthest the least, 0.4. But the nearest expiry has the least vega a lot. Multiply the two and the biggest rupee hit sits in the middle, on the 24 Feb option. Front end moves are largest because an event sits inside the few days left, while a month out the same news is spread across more time. The 30 Mar option carries 5.3 times the vega of the 3 Feb option, yet it lost about half as much in rupees, because its volatility barely moved. Nobody can say in advance which expiry will carry the move. That is why I look at both columns before I think about vega exposure. The curve below is the term structure of that Sunday. On Budget Sunday, volatility was highest at the front and fell toward the later expiries At the money implied volatility by expiry on 1 Feb 2026, spaced by days to expiry. A news event lifts the nearest expiries most, and they give most of it back first. Source: NSE end of day data, computed by RupeeCase. As of 1 Feb 2026. ### One option taken apart Now the 25,000 call for 24 Feb. Each line is a Greek of the Sunday close times how far its input moved: the future rose 288.3 points, from 24,853.5 to 25,141.8, the call's implied volatility fell 1.38 points, from 14.90% to 13.52%, and one day passed. | Rupees a unit | Source of the change | | --- | --- | | 127.87 | Delta (0.44) times the future's rise | | 17.61 | Gamma, half gamma times the rise squared | | −33.91 | Vega (24.57) times the fall in IV | | −7.92 | Theta, one day | | 0.25 | Left over, from smaller effects | | 103.90 | Actual change, 302.35 to 406.25 | ### What the table says Vega took back about a quarter of what delta gave. If the index had risen by the same amount and volatility had held, the call would have gained about Rs 137.56. A buyer who looks only at delta sees an index that rose and a premium that lagged it, and the reply is in this table. One detail matters here. Black 76 runs on the future, so the index move to use is the future's 288.3 points, not the spot move of 263.0 points. The two differ by the change in the basis, and using spot would have left a gap in the table. One way to study any option trade afterwards: write down the change in the future, the change in implied volatility and the days passed, and the four lines will explain nearly all of the move. The rise in volatility into the event, and its fall after, are the subject of module [I16](/learn/path-16/module-16-6-iv-crush-around-events). Watch in the terminal: how closely did two lines move together? A short tutorial on sample data. ### Position vega: what it asks of the seller Vega of a whole position is the sum of its legs with signs (module [I12](/learn/path-14/module-14-14-position-greeks)). Someone short a straddle is short vega, so a rise in implied volatility into an event costs money before the index has moved at all. A trader who is short two expiries is short vega in both, and the two parts do not move together, as the table above shows. I describe this as a risk to be understood, and I do not suggest the position. ### India VIX: what a high reading means India VIX is NSE's reading of the volatility that near and next month Nifty options imply for the next 30 days, as a yearly percentage (module [F24](/learn/path-16/module-16-2-india-vix-explained)). Divide it by about 15.9, the square root of 252 trading days, to get a one trading day move: a VIX of 20 prices roughly 1.3% a day, against 0.77% at the median of the series below. So a high VIX means options are dear and movement is expected, not that it will fall. A one point move in VIX is not a one point move in your option's volatility: the nearer the expiry, the more its volatility moved on Budget weekend, as the table shows. For a buyer the price is higher and vega bites harder if volatility settles. For a seller, the premium is higher and so is the cost of being wrong. India VIX had a median of 12.2, and the 20 in the question sat far above it India VIX daily close from 1 Jul 2025 to 15 Sep 2026. It ranged from 9.15 to 27.89. The dashed line is the 20 in the question people ask. Source: NSE end of day data, computed by RupeeCase. As of 15 Sep 2026. ## The common mistake The claim: India VIX above 20 means a crash is coming. VIX measures the price of movement, not its direction. It closed at 27.89 on 30 Mar 2026, its highest in the series, with Nifty at 22,331.40. Nine days later, on 8 Apr, VIX was 19.70 and Nifty 23,997.35, a gain of 7.5%. A high VIX tells you options are expensive and moves are being priced. It does not tell you which way they go. The median of the series was 12.2. One case is not a rule, but one case is enough to break the claim. Two short answers have their own pages: [Is India VIX above 20 dangerous?](/learn/questions/high-india-vix-meaning) and [What is vega?](/learn/questions/what-is-vega) ## Key takeaways * Vega is the rupees an option gains for one point of implied volatility. * Vega grows with the square root of the time left. * One day left had vega 6.8 times smaller than 48 days left. * Implied volatility of nearer expiries moved more on Budget weekend. * Delta, gamma, vega and theta explained nearly all of the one day change. * India VIX is the price of movement, not its direction. Two terms to hold on to from 14.12 From the module glossary. Source: Module 14.12, Vega: volatility exposure across weekly and monthly expiries. **Before you trade.** Derivatives trading carries a high risk of loss. SEBI's study "Profitability of Individual Traders in the Equity Derivatives Segment (FY25 to FY26)" (August 2026) found that 87.7% of individual traders in equity F&O made net losses in FY26, with aggregate net losses of Rs 91,685 crore. [Read the SEBI study](https://www.sebi.gov.in/reports-and-statistics/research/aug-2026/study-profitability-of-individual-traders-in-the-equity-derivatives-segment-fy25-fy26-_103835.html) What does Vega: volatility exposure across weekly and monthly expiries cover?Vega converts a change in implied volatility to rupees. It grows with time, and the volatility itself moves differently by expiry. It works through The idea, plainly, Worked example: Budget weekend, 1 to 2 Feb 2026, The common mistake, Key takeaways. It is module 14.12 of Path 14, Options and Greeks, about 9 minutes of reading, free. TTry it ## Greeks calculator, on the same example. Delta to rho, and vanna to colour in expert mode, from one Black 76 engine. Dated NSE end of day data, nothing live, no orders. **Greeks calculator**, Nifty, 1 Feb 2026, 24 Feb 2026 expiry. [Open the greeks calculator](/learn/tools/greeks-calculator?chain=NIFTY_2026-02-01_2026-02-24) AF&O on RupeeCase ## Hedging only, in development F&O at RupeeCase will do one job: protect a portfolio you already own, by a rule published before it runs. No speculation, no naked option selling, no leveraged bets. It is not available yet. [How hedging will work](/hedging)[Sign up for RupeeCase](https://invest.rupeecase.com/signup) [No hedgeFalls with the marketWith a putA floor, for a premiumIllustration with made up numbers, not a product and not a recommendation.](/hedging) QQuick check ## 10 questions, 7 to pass. Each attempt draws 10 of the 15 questions in this module's bank, and a retake draws a fresh set. A pass gives this module's Certificate of Completion. Your result stays on this device and counts towards the Path 14 certificate. 7 of 10 correct passes module 14.12 Every answer is explained when you check; a retake is always free. Source: RupeeCase Learn quiz rules (70% to pass). Passed ### Certificate ID Download PNGPrint or save as PDF[Check the ID](/learn/certificates/verify) Self paced and unproctored. A record of completing free education by RupeeCase; not a NISM certificate and not endorsed by NISM, NSE, BSE or SEBI. It qualifies no one to deal, advise or publish research. CCheck yourself ## Path 14 so far. Your quick check results on this device, stop by stop. Stop 12 of 17 on Path 14 Options and Greeks: every live stop, this module ringed. Source: RupeeCase Learn, Path 14. 1. [14.1The call option, told as a storyNot yet](/learn/path-14/module-14-1-call-option-explained) 2. [14.2The put option, told as a storyNot yet](/learn/path-14/module-14-2-put-option-explained) 3. [14.3Buyer or seller: payoffs, margin, win rate and expectancyNot yet](/learn/path-14/module-14-3-option-buyer-vs-seller) 4. [14.4Moneyness, intrinsic value and time valueNot yet](/learn/path-14/module-14-4-moneyness-intrinsic-and-time-value) 5. [14.5Five things that move an option's priceNot yet](/learn/path-14/module-14-5-what-moves-an-option-price) 6. [14.6Expiry and settlement: cash, physical, exercise and STTNot yet](/learn/path-14/module-14-6-expiry-and-settlement) 7. [14.7Delta: speed, hedge ratio and the probability shortcutNot yet](/learn/path-14/module-14-7-delta) 8. [14.8Theta: the time decay curve into expiryNot yet](/learn/path-14/module-14-8-theta-time-decay) 9. [14.9From a binomial tree to Black Scholes and Black 76Not yet](/learn/path-14/module-14-9-binomial-tree-to-black-76) 10. [14.10Put call parity and synthetic positionsNot yet](/learn/path-14/module-14-10-put-call-parity) 11. [14.11Gamma: why it grows so fast near expiryNot yet](/learn/path-14/module-14-11-gamma) 12. [14.12Vega: volatility exposure across weekly and monthly expiriesNot yet](/learn/path-14/module-14-12-vega#quiz) 13. [14.13Rho and interest rates in Indian optionsNot yet](/learn/path-14/module-14-13-rho) 14. [14.14Position Greeks for multi leg strategiesNot yet](/learn/path-14/module-14-14-position-greeks) 15. [14.15Dynamic delta hedging and the P&L identityNot yet](/learn/path-14/module-14-15-delta-hedging) 16. [14.16Gamma scalpingNot yet](/learn/path-14/module-14-16-gamma-scalping) 17. [14.17Second order Greeks: vanna, volga, charm, speed and colourNot yet](/learn/path-14/module-14-17-second-order-greeks) 18. [TPath test, 30 questionsNot yet](/learn/path-14/module-14-17-second-order-greeks#pathTestSection) Path 14 in reading time: 149 minutes over 17 modules Minutes of reading per module, this one in amber. Source: RupeeCase Learn, Path 14. Explore next ## Put the module to work. * [QuestionWhat are option Greeks (Greeks kya hai)?A short answer with a dated chart](/learn/questions/what-are-option-greeks) * [ToolOption payoff builderLegs on a dated Nifty chain, breakevens and charges](/learn/tools/payoff-builder) * [Free module 16.1Volatility: historical against implied7 min read](/learn/path-16/module-16-1-historical-vs-implied-volatility) * [Free module 16.2India VIX for beginners: what it measures and what it does not8 min read](/learn/path-16/module-16-2-india-vix-explained) * [Free module 14.8Theta: the time decay curve into expiry7 min read](/learn/path-14/module-14-8-theta-time-decay) * [Free module 14.11Gamma: why it grows so fast near expiry8 min read](/learn/path-14/module-14-11-gamma) Community ## Join my WhatsApp group. Scan the code, fillFill one short form, and join my WhatsApp group. Slides, sources, factsheets and the rebalance logs live there, and members join a daily Google Meet with me. New to RupeeCase? [Getting started](/getting-started) [See the terminal](/terminal) [Sign up for RupeeCase](https://invest.rupeecase.com/signup) [Join the WhatsApp group](https://forms.gle/C6HMtM1Z2GfeocQV7) [One form, one group](https://forms.gle/C6HMtM1Z2GfeocQV7)Scan with your phone camera SSources ## Go to the source. 7 sources, NSE the most cited The publisher of each source listed below. Source: Module 14.12 source list. 1. [NSE, India VIX index description and methodology summary](https://www.nseindia.com/static/products-services/indices-indiavix-index) NSE 2. [NSE, India VIX white paper (PDF)](https://nsearchives.nseindia.com/web/sites/default/files/inline-files/white_paper_IndiaVIX.pdf) NSE 3. [NSE, equity derivatives contract specifications (European exercise, lot sizes, expiry days)](https://www.nseindia.com/static/products-services/equity-derivatives-contract-specifications) NSE 4. [SEBI Investor, Understanding derivatives](https://investor.sebi.gov.in/understanding_derivatives.html) SEBI 5. [NISM, Series VIII Equity Derivatives certification examination: test objectives](https://www.nism.ac.in/revamp-nism/test-objectives-revised-nism-series-viii-equity-derivatives-certification-examination/) NISM 6. [Black, F. (1976), The pricing of commodity contracts, Journal of Financial Economics](https://ideas.repec.org/a/eee/jfinec/v3y1976i1-2p167-179.html) Paper 7. Hull, J., Options, Futures, and Other Derivatives, Pearson (the Greek letters) Book GTerms ## 4 terms from this module. [Vega](/learn/glossary#vega)The change in an option's price for a one point change in implied volatility, other things held still. It is positive for a bought call or put and the same for a call and put at one strike. Implied volatilityThe yearly volatility that makes a pricing model reproduce an option's market price. It is the price of movement expressed in percent. India VIXNSE's index of the volatility implied by near and next month Nifty option prices over the coming 30 days, quoted as a yearly percentage. Long vega, short vegaA bought option is long vega: it gains when implied volatility rises. A sold option is short vega: it loses when implied volatility rises. [All 230 terms in the glossary](/learn/glossary) [Question people askWhat is vega, and why does an option gain when volatility rises?A short answer with a dated chart](/learn/questions/what-is-vega)[Question people askWhat does a high India VIX mean, and is VIX above 20 dangerous?A short answer with a dated chart](/learn/questions/high-india-vix-meaning)[Related module16.1 Volatility: historical against implied7 min, Beginner](/learn/path-16/module-16-1-historical-vs-implied-volatility)[Related module16.2 India VIX for beginners: what it measures and what it does not8 min, Beginner](/learn/path-16/module-16-2-india-vix-explained)[Pillar guideDerivatives and Quant115 modules across paths 12 to 19](/learn/derivatives) Education only, not investment advice, a research report or a recommendation to buy, sell or hold any security. RupeeCase (QC Alpha Technologies Pvt Ltd) is not registered with SEBI as an investment adviser or research analyst. Contracts and prices shown are for illustration only, come from NSE end of day files at least 30 days old, and are not recommendatory. Derivatives trading carries a high risk of loss.