OPT_BS_VEGA Function (Gnumeric)
Calculate Gnumeric option vega and convert its volatility sensitivity to a one-percentage-point change, with native examples.
Verification status: See the evidence and test scope described in this guide. How formula examples are checked
OPT_BS_VEGA measures a European option model’s sensitivity to the volatility input. Gnumeric returns the derivative per unit change in volatility expressed as a fraction, equivalent to a 100-percentage-point change. Divide by 100 when reporting the local sensitivity per one percentage point. The examples are synthetic spreadsheet calculations, not investment recommendations.
Syntax and argument contract
OPT_BS_VEGA(spot, strike, time, rate, volatility, [cost_of_carry])
Spot and strike must use consistent price units. Time is expressed in years. Enter annualized rate, volatility, and carry as decimal fractions, such as 0.05 and 0.2. Formatting a numerical cell as a percentage is compatible with that convention; entering 20 as the volatility means a value 100 times as large as 20%.
The optional carry defaults to zero. It does not default to rate. There is no call/put flag: vega is identical for corresponding European calls and puts under these assumptions. Use positive spot, strike, time, and volatility to stay within the nonsingular contract tested here.
Worked example: distinguish raw vega from a percentage-point move
=OPT_BS_VEGA(100,100,1,0.05,0.2,0.05) returns approximately 37.5240346916938. If this result is in B2, =B2*0.01 gives approximately 0.375240346916938, the first-order price effect of raising volatility from 20% to 21%, with other inputs fixed.
That is a one-percentage-point absolute increase, not a 1% relative increase in the 20% input. A relative 1% increase would change volatility by 0.002 and use B2*0.002. State which change you mean before interpreting the number.
=OPT_BS_VEGA(100,100,1,0.05,0.2) instead returns approximately 37.7592943290650 because omitted carry is zero. Use explicit carry in a comparison workbook so that the model assumptions are visible rather than hidden in an optional default.
Advanced use: a sensitivity worksheet
Store the six assumptions in labeled numerical cells and reference them from OPT_BS_VEGA. Keep a separate cell for a proposed volatility change expressed as a fraction. Multiplying raw vega by that change estimates the local price effect. Reprice the model at the changed volatility when an exact within-model difference is required; vega is a derivative and varies across the change.
The implemented formula is spot*EXP((carry-rate)*time)*phi(d1)*SQRT(time), with the same d1 as the generalized Black-Scholes formula. The explicit-carry example has d1=0.35. Independent normal-density arithmetic gives the stated raw vega and clarifies why no division by 100 occurs inside the function.
For large changes, do not extend the local estimate as though the derivative were constant. A sensitivity worksheet also depends on how volatility was estimated and on the pricing model’s assumptions; neither is validated by a successful spreadsheet calculation.
Errors and troubleshooting
A text spot input, as in =OPT_BS_VEGA("bad",100,1,0.05,0.2,0.05), produces #VALUE!. Keep time and volatility positive rather than relying on unspecified zero-input limits. The callback does not enforce every financial-model constraint before evaluating its arithmetic.
If your answer is 100 times another calculator’s vega, check whether one reports per 100 percentage points and the other per one percentage point. Also align carry, annualization, price units, and model type before concluding that the numerical implementation differs.
Version and verification
The guide is pinned to official Gnumeric 1.12.57 source checked on 17 October 2026. The first introduction and any last-working release are not established. The selected examples were recalculated in the actual 1.12.57 engine under C.UTF-8 on that date and compared with independent mathematical calculations. No GUI screenshot, extreme-domain certification, or newer-version equivalence is claimed.
Related functions
OPT_BS_DELTA · SQRT · EXP