Vomma

What Is Vomma?

Vomma is an options Greek that measures how much an option's vega changes when implied volatility changes. It is sometimes called volga or volatility gamma. Vega measures sensitivity to implied volatility; vomma measures the sensitivity of that sensitivity.

Vomma is a second-order risk measure. It is mostly used by options traders, market makers, and risk managers who care not only about whether volatility moves, but also about how the option's volatility exposure changes as implied volatility moves.

Formula

A compact way to express vomma is:

In the formula, V is the option value and σ is implied volatility. The first expression says vomma is the rate of change in vega as implied volatility changes. The second expression shows it as the second derivative of option value with respect to volatility.

How Vomma Works

Vega tells a trader how much an option's theoretical value may change for a small change in implied volatility. Vomma asks whether that vega itself is stable. If an option has high vomma, its vega can change meaningfully as volatility rises or falls.

This matters because option portfolios are rarely static. A portfolio that looks vega-neutral at one volatility level may become long or short vega after volatility moves. Vomma helps explain that curvature.

Why Traders Watch It

Options traders watch vomma when managing volatility exposure across strikes and maturities. Long-dated options, out-of-the-money options, and portfolios built around volatility changes can have meaningful vomma. Market makers may track it to understand how hedges will behave if implied volatility jumps.

Vomma is especially relevant when volatility is unstable. During calm markets, vega exposure may seem manageable. During stress, implied volatility can move quickly, and second-order Greeks can become more important than they looked in normal conditions.

Example

Suppose an options portfolio is roughly vega-neutral at current implied volatility. If the portfolio has positive vomma, a rise in implied volatility may increase its vega exposure. The trader may suddenly be more exposed to further volatility changes than the initial vega number suggested.

That is why risk managers do not stop at first-order Greeks. Delta, vega, and theta describe current sensitivities. Gamma, vomma, and other higher-order Greeks help describe how those sensitivities may change.

What Changes the Number

Vomma can vary by strike, expiration, moneyness, and the shape of the volatility surface. It often becomes more important when a position is sensitive to large volatility moves rather than small day-to-day adjustments. A portfolio with the same current vega can behave differently if one version has more vomma than the other.

That makes vomma a portfolio-context measure. A single option's vomma is useful, but the more important question is how the total book behaves if implied volatility shifts across the curve. Traders may combine vomma with vanna, gamma, and scenario analysis to understand nonlinear risk.

Limits

Vomma depends on the pricing model, assumptions, volatility surface, time to expiration, strike, interest rates, dividends, and the underlying price. It is not directly observed in the same way as a market price. A vomma estimate can change if the model or volatility input changes.

For ordinary investors, vomma is usually less important than understanding basic option payoff, time decay, liquidity, and maximum loss. It becomes more useful as portfolios become larger, more complex, or more explicitly volatility-driven.

Investor Takeaway

Vomma is a volatility-curvature measure. It helps explain why an options portfolio's vega can shift as implied volatility changes. The practical lesson is that volatility risk is not always linear; a portfolio can become more or less sensitive to volatility after the market has already moved.