Vega measures sensitivity to changes in implied volatility — premium can rise or fall purely from volatility expectations shifting, even if the underlying’s price doesn’t move at all. Unlike Delta, Vega moves Call and Put premiums in the same direction: rising volatility raises both.
IV Crush
Premiums are often elevated ahead of known events (like quarterly results) due to anticipated volatility, then fall sharply afterward once uncertainty resolves — a pattern known as “IV crush.”
Related Reading
See the full deep-dive lesson, with an IV crush example, in Vega Explained: How Volatility Affects Option Prices. Implied Volatility itself is covered in complete depth in Module 11.