Vega Filter (Ultra): Filter Options by Volatility Sensitivity
Vega measures how much an option price changes per 1% change in implied volatility. Use the Ultra Vega filter to size IV exposure precisely.
What vega tells you
Vega measures how much an option's price changes when implied volatility (IV) moves 1 percentage point. A vega of 0.20 means a 1-point IV rise adds $20 to the contract's price (per share = $0.20 × 100 multiplier).
For sellers, higher vega means you take on more IV risk. If IV expands, the contract you sold gets more expensive (bad). If IV contracts, the contract gets cheaper (good — that's "IV crush").
Where to find it
Vega is an Ultra-tier filter in the Greeks section of both screeners. The slider runs 0 to 1 — most equity options have vega under 0.5.
Recommended vega usage
The Vega filter is most useful for structured plays around IV events, not blanket wheel trades.
| Setup | Vega target | Why |
|---|---|---|
| Pre-earnings short | 0.20+ | Maximize IV crush profit |
| 30-DTE wheel income | 0.05 – 0.20 | Comfortable IV exposure |
| Far-OTM, low IV | 0.00 – 0.05 | Minimal IV concern |
| Long volatility hedge | 0.30+ | Buy options when IV is cheap |
A worked example — earnings IV crush
You want to sell rich premium right before earnings and buy back after the IV crush.
- Open the Put screener.
- Set IV to ≥ 60%.
- Set Vega to ≥ 0.20.
- Set DTE to 7–14 days (so the trade resolves in the IV crush window).
- Verify earnings is ~5 days out (turn off Exclude Earnings).
Sell the put before earnings, then buy back at 50% profit when IV collapses post-report.
Vega + IV
The Vega filter and the Implied Volatility filter are complementary:
- IV filters by the level of expected volatility.
- Vega filters by your exposure to changes in that volatility.
Together they give you complete control over the volatility dimension.
Common mistakes
1. Treating high vega as automatically bad. High vega is opportunity if you have a view on IV. It's only "bad" if IV expands against you.
2. Forgetting vega is per 1-point IV move. A 5-point IV expansion on a 0.20 vega contract is $100 of damage per contract. Size accordingly.
Where to go next
- Pair with IV filter.
- Read Earnings Safe preset for the conservative side.
- Use IV Rank Calculator to spot IV extremes.
Frequently Asked Questions
Is high vega good or bad for option sellers?
Neither — it's exposure. Higher vega means more profit if IV drops (good for sellers) and more loss if IV expands (bad for sellers). Pair Vega with the IV filter to design intentional volatility trades.
Why is the Vega filter Ultra-tier only?
Vega requires per-contract Greek data refreshed throughout the trading day. Like Theta and Gamma, it's reserved for the Ultra plan; Delta remains free for all users.