Explain the Relationship between Implied Volatility and Options Pricing (Vega)

Implied volatility is the market's expectation of the underlying asset's future volatility, derived by working backward from the current market price of the option. Vega is the Greek that measures the option's sensitivity to a 1% change in implied volatility.

As implied volatility rises, the option's price (and its Vega) increases, reflecting the higher probability of large price moves.