Liquidity measures the ease with which an investor can buy or sell an asset. Think of liquidity in the scope of swimming. The more liquid the water, the easier it is to dive in without getting hurt. However, the less liquid, the less inclined you will be to dip your toes in the water. 

By using the most liquid underlyings when trading and investing we  can achieve a greater advantage in getting in and out trades.  Most liquid tradable underlyings exhibit following characteristics:

• ​options are trade on weekly expirations in addition to typical monthly cycles
• trade over 1M+ stocks per day on average
• have over 1000+ options open interest
• have tight bid/ask spreads

​Update 4/15:
​Here's some of the most liquid ETFs and stocks with average daily volume (20 days) of over or just about 1 million shares per day:
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What does vega measure?
Vega measures the rate of change of an option's price given a 1% move in implied volatility. Like delta, it measures the rate of change of an option's price, but this time in respect to IV.

Do we want vegas going from high to low or low to high?
It depends. Options vega have a direct correlation with implied volatility. This means as the IV rises, the vega rises and when the IV falls, the vega of a option falls.  So for positions like debit call spread or calendar spread that you'd open in low IV environment, you would notice a rise in vega with the rise in IV. Conversely, if you have opened a short premium position under high IV environment, you would notice a decrease in vega with decrease in IV.
​With passage of time, vegas decrease if there's no change in IV.  So if you have long options position, you want the price of the underlying to move, and move fast in your favor. In short options positions, you want the vega keep falling with lowering of IV or passage of time for your position to profit.
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How to Obtain High Vegas
As for theta, when the underlying price is ATM vega is at its highest. This is because ATM there is the most amount of extrinsic value. As the price of the underlying goes further ITM or OTM, the curve slopes downward forming our beloved bell curve. With longer expirations, the bell curve is shifted upwards, increasing the value of vega even more.

Here's a valuable trading tip from TastyTrade when it comes to Vega. We can infer the affect IV change will have on the change in price of our options position by  considering the current vega: