DEFINITION of 'Vega'
The measurement of an option's sensitivity to changes in the volatility of the underlying asset. Vega represents the amount that an option contract's price changes in reaction to a 1% change in the volatility of the underlying asset. Volatility measures the amount and speed at which price moves up and down, and is often based on changes in recent, historical prices in a trading instrument. Vega changes when there are large price movements (increased volatility) in the underlying asset, and falls as the option approaches expiration. Vega is one of a group of Greeks used in options analysis, and is the only one not represented by a Greek letter.
INVESTOPEDIA EXPLAINS 'Vega'
One of the primary analysis techniques utilized in options trading is the Greeks – measurements of the risk involved in an options contract as it relates to certain underlying variables. Vega measures the sensitivity to the underlying instrument's volatility. Delta measures the sensitivity to the underlying instrument's price. Gamma measures the sensitivity of delta in response to price changes in the underlying instrument. Theta measures the time decay of the option.

Zomma
An options greek used to measure the change in gamma in relation ... 
Ultima
The rate at which the vomma of an option will react to volatility ... 
Vomma
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A measure of the rate of decline in the value of an option due ... 
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The rate at which the price of a derivative changes relative ... 
Hedge
Making an investment to reduce the risk of adverse price movements ...

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