greeks
Vomma (Volga)
Second-order volatility Greek. Measures how Vega itself changes when implied volatility moves. The "Gamma of Vega."
Formula
Vomma = ν · (d₁ · d₂) / σ
Variables
- Vomma
- dν/dσ — rate of change of Vega per 1% IV change
- ν
- Vega of the option
- d₁, d₂
- Standard Black-Scholes d values
- σ
- Implied volatility
Worked Example
Inputs
- ν
- $0.20
- d₁
- 0.478
- d₂
- 0.301
- σ
- 25%
Calculation Steps
- 1
d₁ × d₂ = 0.478 × 0.301 = 0.1439 - 2
Vomma = 0.20 × 0.1439 / 0.25 - 3
Vomma = 0.1151
Result: Vomma ≈ 0.115 — Vega increases by $0.115 per 1% IV rise
Intuition
Vomma is highest for OTM and ITM options. ATM options have near-zero vomma because their vega is already at maximum. Long OTM options benefit from vomma during vol explosions — their vega grows as vol rises.