Option Veta (Vega Decay)
Computes the veta of an option, the Greek that measures how much the vega changes with each passing day. Since vega captures the premium's sensitivity to volatility, veta shows whether that sensitivity is shrinking over time, and it does: near expiry vega tends to zero, so a call's veta is usually negative. It's a second-order Greek that helps anticipate how the volatility exposure will behave. The result comes per year and per day, for a call with no dividends. Enter the spot price, the strike, the interest rate, the term in years and the volatility.
Result
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Option Veta (Vega Decay)
Computes the veta of an option, the Greek that measures how much the vega changes with each passing day. Since vega captures the premium's sensitivity to volatility, veta shows whether that sensitivity is shrinking over time, and it does: near expiry vega tends to zero, so a call's veta is usually negative. It's a second-order Greek that helps anticipate how the volatility exposure will behave. The result comes per year and per day, for a call with no dividends. Enter the spot price, the strike, the interest rate, the term in years and the volatility.
How much your volatility bet shrinks each day
Vega measures how much an option's premium reacts to changes in volatility. Veta goes one step further: it shows how much that vega itself changes with each passing day. And the news for anyone long volatility isn't cheery, because vega shrinks over time. Near expiry it heads toward zero, so a call's veta is usually negative.
In practice that means your position's sensitivity to volatility isn't fixed: it keeps dwindling. A strategy built to profit from a rise in volatility has less and less vega to work with as the days roll by. Veta is the gauge of that erosion, and ignoring it means underestimating how much the passage of time weakens the bet.
The result is computed for a call with no dividends and comes per year and per day. Enter spot price, strike, interest rate, term in years and volatility. As with the other Greeks, it's a snapshot of the current moment; as the market moves and time passes, the number shifts with it.
Related Tools
Option Color (Gamma Decay)
Computes the color of an option, the third-order Greek that shows how much the gamma changes with each passing day, all else equal. Since gamma measures how fast the delta moves, color tells you whether that speed is accelerating or slowing as expiry approaches, handy for anyone managing gamma positions near the exercise date, where an at-the-money option's gamma spikes. The result comes per year and per day, computed for a call with no dividends. Enter the spot price, the strike, the interest rate, the term in years and the volatility.
Option Theta (Black-Scholes)
Computes the theta of a European call option under Black-Scholes, the Greek that measures how much premium the option bleeds with each unit of time that passes. The formula pairs the decay of extrinsic value, −S·φ(d1)·σ/(2√T), with the strike-discount effect, −r·K·e^(−rT)·N(d2). For a call with no dividends theta is always negative: time works against the buyer. The result comes as annual theta and per day (÷365). Enter the spot price, the strike, the interest rate, the term in years and the volatility.
Option Charm (Delta Decay)
Computes the charm of an option, also known as delta decay, which shows how much the delta shifts with each passing day, all else equal. It is a second-order Greek (∂delta/∂time) that traders watch to see how a hedge needs to be rebalanced near expiry, where it spikes. For a call with no dividends it is −φ(d1)·(2rT − d2·σ√T)/(2T·σ√T). The result comes per year and per day. Enter the spot price, the strike, the interest rate, the term in years and the volatility.
The results provided by this tool are for general informational and educational purposes only and do not constitute professional, financial, medical, legal, tax or accounting advice. Always confirm important decisions with a qualified professional and official sources.