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Micro Data Reference Manual

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Data Dictionary

Item Number H041

EQUITY BY GEOGRAPHY - VEGA

Call confidentiality applies to FFIEC 031/041.

Series	Start Date	End Date	Confidential?	Reporting Forms
CTRDH041	2014-09-30	9999-12-31	Yes	FR Y-14Q

Data Description:

($MM/ +1 vol pt) The expected change in the value of an option when the options implied volatility increases by 1%, i.e. goes from 25% to 26%. When not specified otherwise, vega denotes lognormal vega as opposed to normal vega.

Last update: May 20, 2024