Vega is a greek that can be used as a proxy for theoretical risk and reward. But how efficient is it when comparing it to actual risk incurred on historical trades? The answer is very efficient. We find that when comparing theoretical risk (vega) to actual risk incurred in the trade (volatility of P/L), we find that the ratios of the two are identical no matter what delta strangle you sell. This means that as you increase theoretical risk and reward, your actual risk incurred increases proportionally.