Veta

Q: What is veta?

Veta measures how vega decays with time. As expiry approaches, options lose vol sensitivity. Veta quantifies this decay rate.

Q: Why does veta matter for calendar spreads?

In a calendar spread, veta tells you how fast the near-dated leg loses vol sensitivity vs the far-dated leg.

Q: Why does Veta matter for trading?

Veta is the reason calendar spreads work. Near-dated vega decays faster than far-dated vega — a property captured directly by veta. Calendar-spread traders and vol PMs use veta to time the difference between front-month vega collapse and back-month vega stability, especially around earnings and macro events.

Q: When is Veta good versus bad for a trader?

Short calendar (long front vega, short back vega) profits when the front decays faster than the back — good for fading pre-event IV spikes. Long calendar is the opposite and needs a move or IV expansion to work. Single-expiry positions don't interact with veta directly.

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.