Greeks
Vega
Vega measures how much an option's price changes for a one-percentage-point change in implied volatility. Long options have positive vega and gain when IV rises; short options lose.
A vega of 0.12 means the option gains about $0.12 per share ($12 per contract) if IV rises from 30% to 31%. Vega is largest for at-the-money options with longer time to expiration, because more time gives volatility more room to matter.
Vega explains "IV crush" after earnings: even when the stock moves in the expected direction, a sharp drop in IV can erase the gain on a long option. Vega is also why calendar spreads and diagonals are volatility trades as much as directional ones, and why position vega is tracked alongside delta and theta.
Formula
Vega = ∂V / ∂σ, per one percentage point of IV
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Frequently asked questions
Why did my call lose money when the stock went up?
Usually IV crush (a negative vega effect) plus time decay outweighing the directional gain. It is most common right after earnings or other scheduled events.
Which options have the most vega?
Long-dated at-the-money options. A one-point IV change matters more with months of uncertainty left than with days.