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What is Zomma (Third-Order Greek)?
Zomma (Third-Order Greek) The rate of change of gamma with respect to changes in implied volatility. Also known as DgammaDvol. Zomma is important for understanding how your gamma exposure shifts as volatility changes, particularly relevant during earnings or macro events when both price and IV move simultaneously.
Complete definition
The rate of change of gamma with respect to changes in implied volatility. Also known as DgammaDvol. Zomma is important for understanding how your gamma exposure shifts as volatility changes, particularly relevant during earnings or macro events when both price and IV move simultaneously.
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