A first-order Greek which measures the sensitivity of an option to changes in implied volatility (the expected percentage range based on option prices with 68.3% confidence). When we say extrinsic value, this pertains directly to vega and theta (the sensitivity of an option to time decay). As options run out of time on the contract, vega decreases. This is why we often see short duration options with very high implied volatility amounts: the higher implied volatility is balanced out by a smaller slice of vega, which is the influence of implied volatility on the price of an option.

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