Vega
Vega measures how much an option’s price changes for a 1-percentage-point change in implied volatility.
A vega of 0.10 means the option gains $0.10 if IV rises one point and loses $0.10 if IV falls one point. Long options have positive vega; short options have negative vega.
Vega is largest for at-the-money options with more time to expiration, which is why long-dated options are most sensitive to volatility shifts.
Example. You hold a call with 0.12 vega; if implied volatility jumps from 25% to 30%, the option gains about $0.60 (5 points × 0.12) per share, or $60 per contract.
FAQ
What does positive vega mean?
The position profits when implied volatility rises — typical of long options and debit spreads.
Why does vega matter around earnings?
Implied volatility usually inflates before earnings and collapses after; long-vega positions can lose value on that drop even if the stock moves.
Related terms
See also: Long Strangle