The amount an option changes in comparison to a 1% change in volatility. Vega can change when there are large movements in the underlying stock, and usually falls when the option gets closer to maturity. However, vega can change with no stock price change also.
Example: If the vega of an option is -0.29 and if implied volatility were to rise by 1% then the option value would fall by $0.29.
Vega, along with the rest of the greeks, is typically used in options trading and in a options trading system.
Related terms: greeks, gamma, delta, theta