Vega is a theoretical measure of how the implied volatility of a stock affects the price of the options on that particular stock. Vega is the rate of change in an option’s price for each one percent change in Implied Volatility of the underlying.
Vega is often confused with Volatility. While Volatility is a measure of the underlying stock price changes, Vega is a measure of the sensitivity of option price changes. A drop in Vega will typically cause both calls and puts to lose value, while an increase in Vega usually causes both calls and puts to gain value.
MarketChameleon.com displays the Vega in the custom columns of the stock’s Option Chain page, the "Option Greeks" tab of the Covered Calls Screener and the "Option Greeks" tab of the Naked Puts Screener .
Assume the current stock price of IBM is $146.50.
A call option for a $147 strike price with expiration in 40 days may have a premium of $2.40 and a Vega of 0.19. The Implied Volatility of IBM may be 14.8. Therefore, for each 1 % change in Implied Volatility, the premium is expected to change about 19 cents.