What is the sign convention for Vega for both calls and puts?

Vega measures the sensitivity of an option's price to changes in the volatility of the underlying asset. For both call and put options, Vega is always positive. This means that as the volatility of the underlying asset increases, both call and put option prices will tend to increase as well.

Higher volatility generally leads to a greater probability of the option ending in-the-money, thereby increasing its value. This property holds true for both types of options because increased uncertainty around the price of the underlying asset benefits both calls and puts by increasing the potential for profit.

Option A is incorrect because Vega is not always negative; both calls and puts have a positive Vega. Option C is also not applicable since both call and put options share the same sign convention for Vega. Lastly, stating that Vega is zero overlooks the fact that Vega is actually a measurable value for options, indicating that the sensitivity to volatility is present. Hence, the correct understanding of Vega's sign for both calls and puts is that it is always positive.