Vega
The sensitivity of an option's premium to a change in implied volatility.
Formula
\nu = \frac{\partial C}{\partial \sigma}Sigma is implied volatility. Vega is positive for any bought option, call or put alike.
How to read the number
It shows what a revision of market expectations about future swings costs the position, even while the price of the underlying stands still.
When the metric lies
An option bought ahead of an event gets dearer with the expectation and cheaper right after it. The direction may be right and vega still takes the result the same day.
Also known as: option vega