Vomma (Volga)

Rate of vega change vs. volatility

What is Vomma (Volga)?

Vomma (Volga) The rate of change of vega with respect to changes in implied volatility, also known as volga or vega convexity. Vomma measures how much your vega exposure changes as IV moves. Deep out-of-the-money options have high vomma, meaning their vega increases significantly during volatility spikes.

Complete Definition

The rate of change of vega with respect to changes in implied volatility, also known as volga or vega convexity. Vomma measures how much your vega exposure changes as IV moves. Deep out-of-the-money options have high vomma, meaning their vega increases significantly during volatility spikes.

Example

A deep OTM put has low vega but high vomma. During a crash, IV spikes sharply and the put's vega (and price) increases much more than a linear vega estimate would suggest.