A part of a group of measurements known as the “Greeks” which are used in options pricing. Vega is the Greek that measures an option’s sensitivity to implied volatility. It is the change in an option’s price for a one-point change in implied volatility. Vega should not be confused with simply volatility, however. Vega is the sensitivity of a particular option to changes in implied volatility. Vega is at its highest when the underlying price is near the option’s strike price. It declines as the option approaches expiration. Thus the more time to expiration, the more Vega an option has.