Vega

A single, gaudy, neon-drenched casino is a vega. The plural, of course, (a bunch of them together) is known as "Vegas."

Actually, the term “vega” has to do with options pricing. It belongs to a group of measures known as “the Greeks,” so named because each one gets represented by a Greek letter. Collectively, they describe the way option prices move in relation to various other measures.

Vega specifically relates to implied volatility. It measures the amount an option’s price moves in relation to the implied volatility of the option’s underlying asset. A vega of 1.0 means that an option’s price will move $1 when implied volatility moves 1%.

Vega can be positive or negative. Long options have a positive value (so, if you buy a call, you'll experience positive vega). Meanwhile, short options (like selling a call) have negative vega. The amount of time remaining until expiration also impacts vega. The measure will turn negative as expiration approaches.

Example:

You want to buy a call option for 100 shares of GOOG. The call is priced at $2 and implied volatility is sitting at 35%. The option has a vega of 0.30, meaning that a 1% move in volatility will push the price higher by $0.30. So an increase to 36% implied volatility means the GOOG call price would rise to $2.30.