Definition
Vega is the option Greek that estimates how much an option's price changes for a one percentage point (one volatility point) change in implied volatility, holding other inputs constant. Both calls and puts have positive vega when bought.
How it works
Options bought have positive vega and gain when implied volatility rises; options sold have negative vega. Vega is largest for at-the-money options with a longer time to expiry and shrinks as expiry nears.
Units matter. Textbook vega is the price change for a 1.00 change in volatility, a move of 100 percentage points, so most platforms divide it by 100 and quote it per volatility point, for example from 25% to 26%. After an event such as earnings, implied volatility often falls sharply, which can hurt long options even when the underlying moves as hoped.
Formula / convention
Vega ≈ Change in option price ÷ Change in implied volatility (quoted per 1 volatility point); Estimated price change = Vega × Change in IV in volatility points
Illustrative example
A fictional option has a vega of HK$0.15 per share per volatility point and covers 1,000 shares. If implied volatility rises from 25% to 28%, a 3-point increase, the estimated price change is 0.15 × 3 = HK$0.45 per share, or HK$450 per contract. A 2-point fall would reduce the value by about 0.15 × 2 = HK$0.30 per share.
What to watch for
Always confirm whether a platform quotes vega per volatility point or per 1.00 change; applying a per-point figure to large volatility shifts is only approximate because vega itself changes with price, time and volatility.