Is DvegaDtime the same as veta and how is it computed?

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AcadiFi · Accepted Answer

Yes, DvegaDtime and veta refer to the same quantity: the partial derivative of vega with respect to time. The difference is purely notational. DvegaDtime emphasizes the operational view, sliced from the Jacobian of Greeks, while veta is the pronounceable trader-desk term.

In Black-Scholes terms, vega equals the spot price times the square root of time to expiry times the standard normal density of d1. Differentiating with respect to time (noting that t enters through sqrt(T-t) and through d1 itself) yields a closed form that depends on the interest rate, dividend yield, strike, spot, volatility, and time to expiry. A trader at a house like Tempelhof Volatility Partners implementing a pricing library will differentiate the Black-Scholes vega analytically or use a finite-difference bump: shift t by one day, reprice, and compute (vega_new minus vega_old) divided by one day.

Practically, veta equals roughly vega divided by twice the time to expiry, plus adjustments for rates and moneyness. For a six-month ATM call with vega 0.22, veta is approximately minus 0.0006 per day. Over 30 days, vega falls by about 0.018, or 8%. For CFA candidates, the key insight is that every Greek has a time-derivative counterpart, and practitioners pick notation based on clarity. Knowing both names prevents confusion when reading research from different desks.

Is DvegaDtime the same as veta and how is it computed?

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