The amount of change in the price of an option in response to a 1% change in volatility of the underlying stock price. Substantial price movements in the underlying stock causes vega to change. The more remote an option is from expiration date, the higher vega gets. As the option approaches maturity, vega falls. However, potential change in expected volatility would affect vega, even when the price of the underlying stock doesn’t experience any change. For example, if vega is minus 0.2479 and implied volatility was expected to increase by 1%, then the option value would fall. The amount of fall must have an opposite-sign value (implying negatively correlated relationship) and expressed in monetary units (in this case: 24.79 cents).

Though vega is considered one of the Greek letters (Greeks) in option pricing, the Greek alphabet has no such a letter.