Option sensitivity to changes in volatility is known as "vega." As volatility increases, the price of an option will also increase, making it more expensive to purchase. This is because higher volatility means there is a greater chance for significant changes in the underlying asset's price, making the option more valuable. Conversely, as volatility decreases, the price of an option will decrease, making it less expensive to purchase. Understanding vega is crucial in evaluating and managing the risk associated with options trading.
