What Is the Role of Vega in Measuring IV’s Impact on Option Price?

Vega is an option Greek that quantifies the change in an option's price for every one percentage point change in Implied Volatility (IV). It is a measure of an option's exposure to volatility risk.

A high Vega means the option's price is highly sensitive to changes in market expectations of future price movement. Vega is highest for ATM options and those with longer times to expiration.