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Ultima (Third-Order Greek)

Rate of vomma change vs. volatility

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What is Ultima (Third-Order Greek)?

Ultima (Third-Order Greek) The rate of change of vomma with respect to changes in implied volatility, representing the third derivative of option price with respect to volatility. Ultima captures the curvature of vomma and is relevant for exotic options portfolios and extreme volatility scenarios.

Complete definition

The rate of change of vomma with respect to changes in implied volatility, representing the third derivative of option price with respect to volatility. Ultima captures the curvature of vomma and is relevant for exotic options portfolios and extreme volatility scenarios.

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By Ryan Silk & Lawrence Polatchek Last reviewed . Methodology is published in full.

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