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Options glossary · how much an option's price changes when implied volatility moves 1 point
Vega measures sensitivity to implied volatility: how much the option's price changes when IV moves by one percentage point. Both calls and puts have positive vega, so a rise in IV lifts them and a fall drags them down, regardless of direction.
Vega is largest for at-the-money options with plenty of time left, and it shrinks toward expiry. It is the Greek behind IV crush: buy an option at inflated pre-earnings IV, and even a correct directional call can lose money when IV collapses and vega does its work in reverse.
Often vega. If you bought at high IV before an event and IV then collapsed, the vega loss can outweigh the delta gain from the stock's move. That is IV crush.