Vega is the change in premium per 1 point IV move. Long Vega wins when IV rises; short Vega (sellers) benefits from IV falling. Events (RBI, earnings) spike IV then crush it. The model features iv_rv_spread and skew z.
Understand Vega before any vol trade. The filter blocks long-vol entries when IV is already rich. Vega is the reason a correct directional call still loses if IV collapses.
Q: What is Vega?
A: Premium change per 1 IV point.
Q: Long vs short Vega?
A: Long wins if IV rises; sellers win if IV falls.
Q: Why does a right call lose?
A: IV crush (Vega) can override direction.
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By Shakti Tiwari · Options AI research pillar. NISM XII certified. Educational only, not investment advice; verify before acting.