Why is vega not Greek to me? Vega is not a Greek letter like option delta, gamma, theta and rho. In most books regarding options it is included in the Greeks. In the academic literature it may be referred to as kappa - a true Greek letter.

Vega measures the change in option premium relative to a 1% change in volatility. Since both call and put options increase in value as volatility increases, vega is always a positive number.

Like gamma, vega is highest for ATM options and decreases as an option goes out-of-the-money or in-the-money.  This means that ATM options are the most sensitive to volatility changes while OTM option will have the highest percentage change in premium with a change in volatility.

A long option position will have a positive vega. For example, if you are long an option and volatility goes up, your position value increases even if underlying asset is flat. A short option position has a negative vega. As volatility goes up with underlying asset remaining flat, the cost to close the short position increases thus reducing position value.

In volatility trading, a long straddle position is taken when implied volatility is at historical lows. Vega explains why this is done. The total debit from the position is reduced due to low volatility. The probability volatility will increase is high due to being at historic lows. Since the straddle uses ATM options, it has a high sensitivity to changes in volatility and a high chance to increase in value as volatility changes.

If a position has positive vega then you want the volatility to increase resulting in an increase in position value. If a position has negative vega then you want the volatility to decrease in order to see an increase in position value.