Vega

Vega measures how much an option's price changes when implied volatility changes by one percentage point. It is not actually a Greek letter, but it is treated as one.

Vega = change in option price / 1-point change in implied volatility

Why volatility has its own sensitivity

Recall that higher volatility raises premiums for both calls and puts — a wider expected range makes a profitable move more likely. Vega quantifies that effect.

A worked example

Own a call, premium 5.00, vega 0.20.
Implied volatility rises from 25% to 28% (+3 points):
  premium gains ~ 0.20 x 3 = +0.60 -> ~ 5.60
If implied vol instead falls 3 points -> ~ 4.40

Notice this happened with no move in the stock at all. That is the crucial lesson.

Where vega is largest

Vega is greatest for at-the-money options with lots of time left. Long-dated options are highly vega-sensitive; expiry-week options barely react to volatility.

The honest risk: the volatility crush

Buyers are long vega; sellers are short vega. The classic trap is buying options right before an earnings report when implied volatility is inflated. After the announcement, volatility collapses — the "vol crush" — and the option can lose value even if the stock moved your way, because vega losses swamped the delta gains. Always check whether you are buying volatility that is already expensive.