The Vega of a derivative shows how the value of the derivative changes in respect to a percent change in the volatility of the underlying. When you buy or sell an option, a change in volatility means the option price must be increased/decreased to accommodate new volatility sensitivity. The Vega is at its highest when the underlying is equal to the strike price of the option. As the price of the underlying asset deviates further away from the point where no gain or loss would occur, the Vega drops.