Vomma, also called volga or vega convexity, is the rate at which an option's vega changes for a one-point change in implied volatility. It is the second derivative of the option price with respect to volatility. A long option has positive vomma: its vega grows as volatility rises and shrinks as volatility falls, so the position gains more than vega predicts in a volatility spike and loses less in a decline.

Anyone with a position in out-of-the-money options has it whether they intend to or not. Volatility traders use it deliberately: a long strangle or a long risk reversal is long vomma and profits from a large move in volatility in either direction, while a short strangle writer is short vomma and loses faster than vega suggests when volatility jumps.

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Second-Order Greeks

Vomma

Q: Where is vomma largest?

Away from the money. An at-the-money option has almost no vomma, because its vega is nearly constant across volatility levels. Out-of-the-money and in-the-money options, roughly one standard deviation or more from spot, have the most. Longer expiries carry more vomma than shorter ones at the same moneyness.

Q: Why do at-the-money options have no vomma?

Because at-the-money vega is close to linear in volatility: the option price rises almost in a straight line as implied volatility rises. For a strike away from the money, a rise in volatility makes the strike more reachable and so increases the option's sensitivity to further volatility changes, which is the convexity that vomma measures.

Q: How does vomma relate to the volatility smile?

Vomma is one reason the smile exists. Because volatility itself is uncertain, an option with positive vomma is worth more than its price at the expected volatility, by the same logic that makes a convex payoff worth more than its payoff at the expected price. Wings have the most vomma, so they carry the biggest premium, which shows up as higher implied volatility at the wings than at the money.

Gamma is the convexity of price in the underlying. Vomma is the convexity of price in volatility, and it is why out-of-the-money options win bigger and lose smaller on volatility than vega alone says.

In short: vomma (also volga) is the change in an option's vega for a one-point change in implied volatility. It is to vega what gamma is to delta: the second derivative, the convexity. A long option has positive vomma, so its vega rises as IV rises and falls as IV falls; it gains more than vega predicts in a volatility spike and loses less in a decline. Vomma is near zero at the money and largest at strikes away from spot, which is a large part of why the wings of the chain trade at higher implied volatility.

The intuition

Vega tells you how much an option's price changes for one point of implied volatility. For an at-the-money option that number barely depends on the volatility level: whether IV is 12% or 18%, the 24,000 call gains about the same per point. For an out-of-the-money option it does depend. At 12% the 25,000 call is a long shot and a one-point rise in IV adds little; at 18% it is a live possibility and the same one-point rise adds a lot more. Its vega has grown with volatility. That growth is vomma.

The consequence is asymmetry. A long out-of-the-money option gains at an accelerating rate as volatility climbs, and loses at a decelerating rate as it falls. The holder of such an option is long convexity in volatility, in the same sense that the holder of any option is long convexity in price. The seller is short it, and pays for it in exactly the moments when volatility jumps.

Formula and worked example (illustrative numbers)

In Black-Scholes, vomma = vega × d₁ × d₂ / σ. Since d₁ and d₂ have opposite signs only for a band around the money, vomma is positive for a long option almost everywhere and dips to near zero in that band. Suppose NIFTY is at 24,000 with 27 days to expiry, IV at 14%, and consider the vega of each call per IV point at two volatility levels:

Call strike	Premium at 14%	Vega at 14%	Vomma (vega change per IV point)	Vega at 17%
23,000 (ITM)	₹1,156	11.7	+1.3	15.0
23,500 (ITM)	₹746	20.4	+0.7	about 22
24,000 (ATM)	₹424	25.8	≈ 0	about 26
24,500 (OTM)	₹207	24.1	+0.3	about 25
25,000 (OTM)	₹86	16.9	+1.1	about 20

Take the 25,000 call. Vega alone says a three-point rise in IV adds about ₹51 (3 × 16.9). Because vega itself grows along the way, the actual gain is closer to ₹55, and on a six-point rise the gap widens further. The same call on a three-point fall loses less than ₹51, because vega shrinks as IV drops. The at-the-money call shows no such effect: its vega is the same before and after. A trader long the 25,000 call and short the 24,000 call to be vega-neutral is still long vomma, and profits if IV moves a long way in either direction.

Price against implied volatility. The at-the-money option is almost a straight line; the out-of-the-money option curves upward, and the curvature is vomma.

Why it matters to an options trader

It is why short strangles lose faster than their vega. When India VIX jumps, the out-of-the-money options a strangle writer sold gain vega as they gain value; the loss accelerates.
It is a second reason wings are priced high. Beyond the fat tails of returns, the uncertainty of volatility itself makes convex-in-volatility options worth more, and that premium is in the smile.
It separates volatility level from volatility of volatility. A vega-neutral, vomma-long position is a bet that IV will move a lot, not on which way; it is the volatility trader's straddle.
It compounds with vanna in a sell-off. Falling spot raises IV (skew), rising IV raises the vega of out-of-the-money puts (vomma) and shifts their deltas (vanna); a short-put book takes all three at once.

Common mistakes

Estimating a volatility shock with vega alone. On out-of-the-money positions, multiply-by-vega understates the gain and overstates the loss, by more the larger the shock.
Assuming vega-neutral means volatility-neutral. Offsetting vega at different strikes leaves vomma, so the position still responds to large IV moves.
Looking for vomma at the money. There is none to speak of; the at-the-money straddle is a clean vega trade, which is sometimes exactly what is wanted.
Confusing vomma with vanna. Vomma is vega against IV; vanna is delta against IV. Both live in the wings and both show up in a sell-off, but they hedge differently.
Ignoring expiry. Vomma on a six-day weekly is small in absolute terms; on the monthly and further out it is material. A far-expiry strangle carries far more volatility convexity than the weekly.

Indian-market specifics

The common retail short strangle on NIFTY and Bank Nifty is short vomma; the collective book loses at an accelerating rate when India VIX spikes, which contributes to the forced-unwind pattern seen in sharp falls.
Vomma is largest on NIFTY's monthly and quarterly expiries at strikes a few hundred points from spot; on the Tuesday weekly it is concentrated in the last days at near strikes and is small in rupee terms.
NSE does not publish second-order Greeks; vomma is derived from the chain's per-strike implied volatility by platforms that compute the full Greek set.
India VIX is itself the at-the-money region of the NIFTY smile; a VIX move understates what happens to wing vegas, which is the vomma component.

FAQ

What is vomma?

The change in vega per one-point change in implied volatility: the convexity of price in volatility.

Where is vomma largest?

At strikes away from the money, and more on longer expiries.

Why do at-the-money options have no vomma?

Because their price rises almost linearly with volatility; their vega barely changes with the level.

How does vomma relate to the volatility smile?

Convexity in volatility makes wing options worth more under uncertain volatility, which appears as higher wing IV.

Who trades vomma?

Everyone with out-of-the-money positions carries it; volatility traders buy or sell it deliberately through strangles and risk reversals.

Vega at every strike

The NIFTY option-chain page shows implied volatility strike by strike from the latest close, so the wings' pricing can be compared with the centre. In the app, the option chain shows the Greeks, including vega, at every strike for the selected expiry.

NIFTY option chain How the Greeks interact

Related terms

Vanna, delta against implied volatility
Vega, the first-order sensitivity vomma modifies
Volatility Smile, where vomma's premium shows up
Second-Order Greeks, the full family