If vega is your exposure to volatility, vomma is how that exposure itself changes when volatility moves. It’s why some options behave explosively when vol spikes.
Vomma (also vega convexity or volga) measures how an option’s vega changes as implied volatility changes. It’s a second-order Greek — the “acceleration” of your volatility exposure.
What vomma captures
Vega tells you how much an option gains per point of IV. But vega isn’t constant — it grows or shrinks as IV moves. Vomma measures that: high vomma means your volatility exposure increases as vol rises, so the option can gain value at an accelerating rate in a vol spike. It’s convexity applied to volatility.
Where vomma lives
Vomma is highest for out-of-the-money options and lowest for at-the-money ones (whose vega stays roughly constant with vol). That’s part of why far-OTM options can behave explosively when volatility surges — their vega, and thus their price sensitivity, ramps up. It also connects to the volatility skew and vol-of-vol.
Vega is your volatility exposure; vomma is how fast that exposure grows when volatility itself moves. It’s why a vol spike can light up OTM options.
What it means for a scalper
Vomma is advanced and you won’t trade it directly, but it explains why option behavior in high-vol regimes can be non-linear, and why OTM lottos occasionally explode. It rounds out the higher-order Greek picture alongside vanna and charm.
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