What is the definition of a Vega in Stock Market?

Vega is a trading term, it is used to describe the measurement of the sensitivity of an option to changes in the volatility of the underlying asset, i.e. if an asset moves at price by 2.4% what will be the corresponding change in the price of an option based on that asset?

Example, if AMZN Stock is $ 2,354 per share and it changes for the trading day by 2.4%. 

To calculate the corresponding price to determine the Vega, one must divide 2.4 by 100 and multiply that by $,2,354. The vega is $54.496 + $2,354 = $2410.496.

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