Why Is Vega Highest for At-the-Money Options?
Vega is highest for at-the-money (ATM) options because their outcome is the most uncertain. An ATM option has a roughly 50/50 chance of expiring in-the-money or out-of-the-money.
Therefore, a change in expected volatility has the greatest impact on its probability of becoming profitable. For deep in-the-money or far out-of-the-money options, a small change in volatility is less likely to alter their final outcome; they are already very likely to expire worthless or with value, respectively.
The heightened uncertainty of ATM options makes their prices the most sensitive to shifts in market volatility.
Glossar
Why Vega Is Highest
Condition ⎊ Vega, the measure of an option's price sensitivity to implied volatility, reaches its highest value when the option is at-the-money and possesses a long time until its expiration date.
Vega
Sensitivity ⎊ Vega, within the context of cryptocurrency options and financial derivatives, quantifies the rate of change in an option’s price with respect to changes in the underlying asset’s implied volatility.