Vega

Vega is positive for both calls and puts held long, because higher volatility raises the value of optionality regardless of direction. It is largest for at-the-money options with substantial time remaining and falls toward zero as expiry approaches, which is why long-dated options are the instruments for expressing a view on volatility. The event risk it captures is the reason an option can lose value on good news: implied volatility collapses once the uncertainty resolves. Vega is not a Greek letter, despite the naming convention of the others — a small piece of trivia that reflects the term's trading-floor origin.