PT - JOURNAL ARTICLE AU - Nikunj Kapadia TI - Negative Vega? Understanding Options on Spreads AID - 10.3905/jai.1999.318937 DP - 1999 Mar 31 TA - The Journal of Alternative Investments PG - 75--78 VI - 1 IP - 4 4099 - https://pm-research.com/content/1/4/75.short 4100 - https://pm-research.com/content/1/4/75.full AB - During recent months, interest in the impact of various spread trades on hedge fund returns has increased. For instance, the option on a spread can decrease in value when the volatility of one of the assets of the spread goes up. This article explains theoretically why this may happen, and clarifies the market conditions under which an increase in the volatility of one of the assets may increase or decrease the value of the spread option.