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training_data/curated/text/14cdcabf68c12fa310655128a38cb4543652529aa5b85077d03b18cd47af61dc.txt

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+Vega
+After delta and theta, vega is the next most influential contributor to Kim’s
+profit or peril. With Disney at $35.10, the 1.10 premium for the 35-strike
+call represents $1 of time value—all of which is vulnerable to changes in
+IV. The option’s 1.10 value returns an IV of about 19 percent, given the
+following inputs:
+Stock: $35.10
+Strike: 35
+Days to expiration: 44
+Interest: 5.25 percent
+No dividend paid during this period
+Consequently, the vega is 0.048. What does the 0.048 vega tell Kim?
+Given the preceding inputs, for each point the IV rises or falls, the option’s
+value gains or loses about $0.05.
+Some of the inputs, however, will change. Kim anticipates that Disney
+will rise in price. She may be right or wrong. Either way, it is unlikely that
+the stock will remain exactly at $35.10 to option expiration. The only
+certainty is that time will pass.
+Both price and time will change Kim’s vega exposure. Exhibit 4.5 shows
+the changing vega of the 35 call as time and the underlying price change.
+EXHIBIT 4.5 Disney 35 call price–time matrix–vega.