Which Greek measures the sensitivity of an option's premium to changes in implied volatility?

The measure that indicates how sensitive an option's premium is to changes in implied volatility is known as Vega. Vega quantifies the amount by which the price of an option would change in response to a 1% change in implied volatility. Since implied volatility is a crucial component in options pricing, understanding Vega allows traders and investors to gauge how much the price of an option may increase or decrease based on changes in market expectations about future volatility.

In contrast, Delta measures sensitivity to changes in the underlying asset's price, Theta represents the time decay of the option's premium, and Gamma signifies the rate of change of Delta with respect to changes in the underlying asset's price. Each of these Greeks serves a unique purpose in option pricing and risk management.