delta of a call from a put, one can similarly take −0.58 and add 1 to get 0.42. Vega Vega measures sensitivity to volatility. Vega is the derivative of the option value with respect to the volatility of the underlying asset. Vega is not the name of any Greek letter. The glyph used is a non-standard majuscule version of the Greek letter nu (), written as . Presumably the name vega was adopted because the Greek letter nu looked like a Latin vee, and vega was derived from vee by analogy with how beta, eta, and theta are pronounced in American English. The symbol kappa, , is sometimes used (by academics) instead of vega (as is tau () or capital lambda (), though these are rare). Vega is typically expressed as the amount of money per underlying share that the option's value will gain or lose as volatility rises or falls by 1 percentage point. All options (both calls and puts) will gain value with rising volatility. Vega can be an important Greek to monitor for an option trader, especially in volatile markets, since the value of some option strategies can be particularly sensitive to changes in volatility. The value of an at-the-money option straddle, for example, is extremely dependent on changes to volatility. Theta Theta, , measures the sensitivity of the value of the derivative to the passage of time (see Option time value): the "time decay." The mathematical result of the formula for theta (see below) is expressed in value per year. By convention, it is usual to divide the result by the number of days in a year, to arrive at the amount an option's price will drop, in relation to the underlying stock's price. Theta is almost always negative for long calls and puts, and positive for short (or written) calls and puts. An exception is a deep in-the-money European put. The total theta for a portfolio of options can be determined by summing the thetas for each individual position. The value of an option can be analysed into two parts: the intrinsic value and the time value. The intrinsic value is the amount of money you would gain if you exercised the option immediately, so a call with strike $50 on a stock with price $60 would have intrinsic value of $10, whereas the corresponding put would have zero intrinsic value. The time value is