Volatility risk

It usually applies to derivative instruments, and their portfolios, where the volatility of the underlying asset is a major influencer of option prices.

It is also [1] relevant to portfolios of basic assets, and to foreign currency trading.

[5] Here, the hedge-instrument is sensitive to the same source of volatility as the asset being protected (i.e. the same stock, commodity, or interest rate etc.).

The number of hedge-instruments purchased, will be a function of the relative sensitivity to volatility of the two: the measure of sensitivity is vega, [6] [7] the rate of change of the value of the option, or option-portfolio, with respect to the volatility of the underlying asset.

Here the total vega of the position is (near) zero — i.e. the impact of implied volatility is negated — allowing the trader to gain exposure to the specific opportunity, without concern for changing volatility.