Vega is one of the option greeks: it measures how much an option's price changes for a one-point move in implied volatility. If an option has a vega of 0.10, a one-point rise in IV adds roughly ten cents to its price - before any move in the underlying at all.
Why it matters
Options are priced partly on expected future movement. When implied volatility rises - fear, uncertainty, an event approaching - option prices inflate, and vega measures that sensitivity. When IV falls, prices deflate. You can be right on direction and still lose if IV collapses against you. That is a vega loss.
Where vega is biggest
Vega is largest for at-the-money options and for those with more time to expiration. Long-dated, at-the-money contracts move a lot on IV swings; short-dated, far-out-of-the-money ones barely respond. This is why the IV crush after earnings hits at-the-money buyers hardest.
Vega is the price of fear baked into your option. When the fear leaves, so does the premium.
The practical takeaway
Buying options when IV is high means paying up for vega you'll likely lose when volatility normalizes. Buying when IV is low - checking IV rank first - stacks vega in your favor. Understanding vega turns "why did my option lose when I was right?" into a question you can answer before you enter.
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