Vega measures the change in an option's price per 1-percentage-point change in implied volatility. A vega of 0.20 means the option gains 20 cents if implied vol rises 1 point, and loses 20 cents if it falls. Vega is highest for at-the-money options with significant time to expiration.
Long options carry positive vega — they benefit when implied vol rises (uncertainty about the future increases option premium). Short options carry negative vega — they get hurt when vol rises. This sounds abstract until you trade through an event-driven vol spike and watch your supposedly profitable position evaporate because the implied vol moved against you even though the underlying went your way.
The classic retail trap is 'buying calls into earnings.' The trader expects the underlying to rise after the announcement, and it does — but implied volatility (which was elevated heading into the print) collapses immediately afterward. The vol crush wipes out the long-call position despite the directionally correct call. This is pure vega in action; the position was as long volatility as it was long the underlying, and only one of those exposures paid out.
Most retail options traders never look at vega because their platform displays it less prominently than delta and theta. This is a mistake. Vega exposure is the single most common explanation for 'why did my position lose money even though I was right about direction?' surprises in trading journals — and the fix is just adding the vega column to your position monitor and sizing with awareness of how much vol exposure you're actually carrying.