What is Option Vomma?
Option Vomma, also called Volga, measures how an option's Vega changes when Implied Volatility changes.
Vega measures the local sensitivity of theoretical option value to implied volatility. Vomma measures the curvature of that volatility sensitivity.
That makes Vomma a Second-Order Option Greek.
Why Vega is not constant
Suppose an option has a Vega of 0.20 under a particular reporting convention. A one-point increase in implied volatility might initially imply an approximate theoretical price increase of 0.20 if the move is small and other inputs stay fixed.
But after volatility changes, the option's Vega can also change. Applying the original Vega repeatedly over a large volatility move can therefore become inaccurate.
Vomma describes the local rate at which Vega itself changes as implied volatility moves.
Vomma and volatility convexity
Because Vomma captures curvature with respect to volatility, it is often described as Vega convexity.
This is analogous to how Option Gamma adds curvature to a Delta-based price approximation. Delta gives a first-order underlying-price sensitivity; Gamma describes how Delta changes. Vega gives a first-order volatility sensitivity; Vomma describes how Vega changes.
The analogy is useful, but the exact units and behavior still depend on the pricing model and reporting convention.
A simple example
Imagine an option whose Vega increases as implied volatility rises.
A volatility move from 20% to 21% may have one estimated price effect, while a further move from 21% to 22% can have a somewhat different effect because Vega has changed.
A first-order Vega approximation misses that curvature. Vomma helps describe it.
The example does not imply volatility will actually move in that direction or that theoretical P&L will match realized execution.
Where Vomma matters
Vomma can matter when:
- volatility moves are large;
- a position is deliberately long or short volatility;
- the portfolio contains longer-dated or strongly volatility-sensitive options;
- the implied-volatility surface moves substantially; or
- a trader is trying to hedge Vega across changing market conditions.
For multi-leg structures, the relevant quantity is the net portfolio exposure after the legs are combined.
Vomma is model-dependent
A displayed Vomma is not a universal property of the contract.
Its value depends on the pricing model, spot or forward convention, time to expiration, strike, interest rates, dividends, implied volatility, and the units used for a volatility change.
Real markets also exhibit Volatility Skew and term structure. A surface can twist rather than move in one parallel shift, so one scalar Vomma cannot fully describe every volatility-surface scenario.
Vomma is not a volatility forecast
Positive Vomma does not mean implied volatility is expected to rise. Negative Vomma does not mean it is expected to fall.
Vomma is a sensitivity measure. It describes how modeled Vega responds if implied volatility changes.
That distinction is the same one investors should preserve for the core Greeks: sensitivity is not prediction.
Sources and further reading
- Options Industry Council: Options Glossary, Vomma
- Options Industry Council: May Office Hours FAQs
- Options Industry Council: The Greeks II, Vega, Rho and Second-Order Greeks
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