Explain the Concept of ‘Volatility’ (Vega) in Options Pricing

Volatility, represented by Vega, is a key Greek that measures an option's sensitivity to changes in the volatility of the underlying asset's price. Vega is always a positive value for both call and put options.

A high Vega means the option's price will increase significantly if volatility rises, and decrease if volatility falls. Options with longer expiration times are generally more sensitive to volatility changes.