Veta
Canonical definition, formula, interpretation, and API reference.
Definition
How vega changes with time - the rate at which an option's vol sensitivity decays as expiry approaches.
Formula
Veta = dVega/dTime
Second-order cross-partial of option value with respect to implied vol and time.
Inputs
vegatime to expiryimplied vol
Output
veta value (per day)
Interpretation
- Negative veta (typical): vega decreases as expiry approaches
- Critical for calendar spread traders
- Accelerates near expiry like theta
API Reference
Endpoint
GET /v1/pricing/greeks
Tier
Free
Response field
additional.veta
Why Veta Matters for Trading
TL;DR
Veta is vega's time decay - how much your vol exposure fades per day. The reason near-dated vega burns off faster than far-dated.
- What it measures
- ∂Vega/∂t - rate of change of vega with respect to time.
- What it signals
- How much of your vol exposure you lose each day, independent of spot.
- Why we measure it
- Calendar and diagonal spreads live and die by veta. It's why the near-month gets shorter vega faster than the far-month.
- Who uses it
- Calendar-spread traders, diagonal traders, vol PMs managing term risk.
How to read Veta
Long front-vega + short back-vega (short calendar)
- Front veta faster = front vega fades
- Back stable over same window
- Short calendar profits from IV-rank divergence
- Event-trade setups
Good for: event-shorting calendars
Long calendar (short front / long back)
- Front vega decays fast = P&L drift
- Need IV-rank expansion or move
- Often used to fade IV crush
- Specific-setup trade
Context-dependent
Single-expiry positions
- Veta is just vega's decay
- Less relevant
- Managed implicitly via DTE selection
- Standard retail trades
Background
Rules of thumb
- Veta scales inverse to T. Near-dated options lose vega faster. Far-dated carry more stable vega.
- Pair with vega. Vega is level; veta is how fast it fades.
- Calendar spread's backbone. Long/short calendars are veta trades at their core.
- Event-sensitive. Earnings crush is a massive overnight veta event concentrated in the front month.
- Quant / vol PM territory. Retail rarely uses veta explicitly; managed via calendar structure and DTE.
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