Zomma
How much your gamma exposure changes when implied volatility moves — the risk-within-the-risk that surprises options books during IV events.
Definition
Zomma is a third-order option Greek that measures the rate of change of gamma with respect to a change in implied volatility. It is also interpretable as the cross-partial derivative of vega with respect to the underlying price taken twice. In simple terms, zomma tells you how much your gamma position will grow or shrink if the market's implied volatility regime shifts — independently of any move in the underlying itself. It belongs to the family of second-order Greeks and beyond, used primarily by structured-products desks and market makers who need to model their books under volatility stress scenarios rather than just spot stress.
Why it matters
For options traders on NSE and BSE, zomma becomes especially relevant around high-impact events: RBI monetary policy meetings, Union Budget sessions, quarterly earnings for Nifty 50 heavyweights, or sudden geopolitical shocks that spike India VIX. In those scenarios, implied volatility does not merely affect option premiums — it actively reshapes the gamma landscape across all strikes. A short-gamma position that appeared manageable at an India VIX of 13 can become dangerously convex if VIX jumps to 20, because gamma itself has expanded. Zomma quantifies exactly how much that expansion will be per unit of IV move. Institutional desks that run large short-straddle or short-strangle books on weekly Nifty expiries routinely stress-test their gamma for a hypothetical +5 point VIX shock; the number they multiply by is, in effect, their zomma exposure. Retail traders writing covered calls or naked puts may not compute zomma explicitly, but understanding the concept explains why their positions can go from comfortably out-of-the-money to dangerous after a single RBI statement — the gamma protecting the seller's comfort zone has itself grown.
Formula
Zomma is defined as:
Zomma = ∂Γ / ∂σ = ∂3V / (∂S2 ∂σ)
Under Black-Scholes, it can be expressed in terms of d1 and d2 as:
Zomma = Gamma × (d1 × d2 − 1) / σ
where σ is implied volatility, and d1, d2 are the standard Black-Scholes distance-to-strike terms. A positive zomma indicates gamma increases as IV rises; a negative zomma indicates gamma falls. ATM options typically carry the highest absolute zomma.
Example
Suppose a hypothetical Nifty 23,000 straddle (long ATM call + long ATM put) has a combined gamma of 0.002 and a zomma of 0.0003 per volatility point. Say India VIX rises from 14 to 19 — a 5-point spike following an unexpected RBI policy surprise. The straddle's gamma would increase by approximately 0.0003 × 5 = 0.0015, lifting total gamma to roughly 0.0035 — a 75% expansion. That means the position's convexity has nearly doubled: each 100-point Nifty move now produces a much larger delta swing, generating larger profits for the long-gamma holder. Conversely, a short-straddle writer faces a 75% more dangerous gamma profile than they sized for. (All figures are illustrative and hypothetical only.)
Track gamma exposure across strikes in real time
TradePulse's live option chain shows gamma and open interest across all strikes so you can visualise where zomma risk is concentrated.