Volga
Second derivative of price vs. volatility
What is Volga?
Volga Another name for vomma: the second derivative of the option price with respect to implied volatility. Volga is particularly important in FX options markets and for pricing the volatility smile. Options with high volga benefit disproportionately from large IV moves in either direction.
Complete Definition
Another name for vomma: the second derivative of the option price with respect to implied volatility. Volga is particularly important in FX options markets and for pricing the volatility smile. Options with high volga benefit disproportionately from large IV moves in either direction.
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