Vega measures an option's sensitivity to implied volatility. It is the change in the option's price for a one-point change in implied volatility. Why do you have a different definition?
This is all well and good but if you're just selling strangles for instance you're really at the mercy of vega. Almost all of my losses or unrealized losses occur during a massive expansion in Vol. I've had this question in my mind for a while and wondered if it's worth carrying some sort of long Vol positions. In other words, the more strangles you add into a portfolio the more sensitive you are to vega, so it should in theory make buying vol more attractive as a hedge. Obviously, you can't completely hedge Vega, but it seems like for every $10,000 or $20,000 in BPR you have because your short options, you could put a vega tax on your porfolio in the form of long VIX calls - probably call spreads. Perhaps only do this When Vix is 20 or Under, like now. What do you think, is there an optimal delta/theta/vega ratio for a given buying power?
