Vega Risk Options Interview Guide
Vega risk options interview guide covering implied volatility sensitivity, surface moves, skew, tenor, hedging, and examples.
Candidates explaining sensitivity to implied volatility changes.
Vega measures sensitivity to implied volatility
Vega estimates how option value changes when implied volatility changes, holding other inputs fixed under the chosen model.
Surface vega is richer than one number
A book can be long one expiry, short another, long downside skew, and short upside volatility even if total vega appears small.
Concrete example
An earnings option can have high short-dated vega to event volatility while longer-dated vega behaves differently after the event passes.
Hedging vega requires matching risk
A hedge should consider expiry, strike, skew, liquidity, and whether the risk is level shift or local surface movement over time.
Common mistakes
Candidates often say vega goes up or down without specifying which implied volatility point moved and how the surface changed.
Practice the pattern
Use the LeetQuidity curriculum and calibration to turn this topic into a focused practice plan.