What It Means
Vega is an option Greek that measures how much an option's premium is expected to change for every 1 percentage-point change in the underlying's implied volatility, holding everything else constant.
How It Works
Both call and put options have positive vega, meaning their premiums rise when implied volatility rises and fall when it drops — regardless of which direction the underlying itself moves. This is why an option's price can fall even if you correctly predicted the direction: if implied volatility collapses (common right after an event like earnings is over and the uncertainty resolves), vega can drag the premium down faster than a favorable price move pushes it up. Vega is highest for at-the-money options with more time to expiry, and shrinks as expiry approaches, since there's less time left for volatility to matter.