Vomma (Volga)
The convexity Greek that tells you how fast your vega grows as volatility rises.
Definition
Vomma, also called volga, is a second-order Greek that measures how an option's vega changes as implied volatility moves. Where vega is the option's sensitivity to volatility, vomma is the sensitivity of that sensitivity, capturing the option's convexity with respect to volatility.
Formula
Vomma is the second partial derivative of the option value with respect to volatility: Vomma = ∂Vega / ∂σ = ∂²V / ∂σ². It is positive and largest for out-of-the-money options, and falls toward zero for at-the-money options.
Why it matters
Positive vomma means your vega grows as volatility rises and shrinks as it falls, so a long-vomma position gains more on big volatility spikes than a plain long-vega book. Volatility traders deliberately seek vomma to profit from rising vol-of-vol, while sellers of cheap out-of-the-money options can be caught short vomma in a stress event.
Example
An out-of-the-money option has vega 6 and vomma 0.8. If implied volatility rises by one percentage point, the vega itself climbs toward 6.8. The next point of volatility now adds even more value, that accelerating gain is vomma.
See it live
Track how vega and implied volatility move across strikes on TradePulse's live option chain.