Vomma

Vomma measures how an option's vega changes as volatility moves. If vega is how much your option reacts to a change in volatility, vomma tells you whether that reaction speeds up or slows down as volatility keeps changing. It is also known as volga.

Think of it as the vega version of gamma. Gamma is the acceleration of delta; vomma is the acceleration of vega. Let me show you why that matters.

Vega's Acceleration

Vega is not constant. As volatility rises, an option's vega can grow, which means the option becomes even more sensitive to the next move in volatility. Vomma measures that growth, the curvature or convexity in how your option responds to volatility.

A position with high positive vomma is a happy place to be when volatility is climbing. As fear rises, your vega gets bigger, so each additional uptick in volatility helps you more than the last. It is the same compounding feeling gamma gives an option buyer on a rising stock, except here the fuel is rising volatility rather than a rising price.

Vega accelerates with volatility

the convexity of vega, like gamma for vega

Volatility rises

Vega grows

Each rise helps more

Gains compound

Volatility falls

Vega shrinks

Each fall hurts less

Losses soften

Positive vomma bends the volatility payoff in your favor.

Why It Matters

Vomma is a specialist's Greek, but it drives real decisions for anyone trading volatility itself.

It rewards convexity. A long-vomma position gains vega as volatility rises and sheds vega as volatility falls. That asymmetry is exactly what a volatility trader wants: you get more sensitive when things move your way and less sensitive when they move against you. Far out-of-the-money options tend to carry the most vomma, which is part of why traders reach for the wings when they want a big, convex bet on a volatility spike.

It refines vega risk. Judging a position by vega alone assumes vega stays put. Vomma warns that in a large volatility move, your vega itself will change, so your real exposure is bigger or smaller than a single vega number suggests. Ignore vomma and a violent volatility swing can surprise you.

For most traders, the takeaway mirrors gamma's: the first-order Greek, vega, is only a snapshot, and vomma is what bends the curve when volatility moves a lot.

Key Takeaways

Vomma is how an option's vega changes as volatility moves.
It is the convexity of vega, like gamma is for delta.
Positive vomma means vega grows as volatility rises, so gains compound.
It is also called volga, and it is largest for far out-of-the-money options.

Pop Quiz

Three quick questions to see what stuck. Pick an answer and the explanation shows up right away.

What does vomma measure?

Vomma is the rate of change of vega with volatility, the convexity of vega.

Vomma is to vega as which Greek is to delta?

Gamma is the acceleration of delta; vomma is the acceleration of vega. Same idea, different Greek.

What does positive vomma do as volatility rises?

With positive vomma, rising volatility increases vega, so each further uptick helps more than the last.

Bottom Line

Vomma is gamma's counterpart for volatility. It measures how your vega accelerates as volatility moves, bending the payoff so a long-vomma position gets more sensitive as fear climbs and less sensitive as it fades. That convexity is prized by traders betting on a volatility spike.

It also keeps you honest about vega risk: in a big volatility move, vega itself shifts, and vomma is what a single vega reading leaves out. Also called volga, it is the second-order tool for anyone serious about trading volatility.

Keep going: the Greek it acts on is vega, its delta-side analogue is gamma, and its other name is volga.