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Vega
Vega measures how much an option's theoretical value is expected to change for a one percentage point change in implied volatility, assuming other relevant factors remain unchanged. Although called a Greek, Vega is not actually a Greek letter. Example An option has: Vega = 0.20 If implied volatility rises from: 30% to 31% the option's theoretical value might increase by approximately: $0.20 all else equal. With a 100 share multiplier: approximately $20 per contract.
Why it matters to you
Vega explains why an option can gain or lose value even when the underlying asset barely moves. It is especially important around major events and changes in market uncertainty.