Data Dictionary
Item Number H089
ENERGY, METALS, AGS & SOFTS, AND COMMODITY INDICES: VEGA ($MM / +1 VOL PT)Call confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| CTRDH089 | 2014-09-30 | 9999-12-31 | Yes | FR Y-14Q |
Data Description:
($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.