How Does the Volatility of the Underlying Asset Affect the Price of an Option?

Volatility is a key determinant of an option's price, or premium. Higher expected volatility increases the probability that the underlying asset's price will move significantly, making it more likely that the option will end up "in-the-money." Therefore, a higher volatility generally leads to a higher option premium for both call and put options.

This is measured by Vega.