Vomma (Volga)

Vomma, also called volga, measures how much an option's vega changes as implied volatility itself changes - vega's own sensitivity to volatility. It is largest for far out-of-the-money options and matters most when implied volatility itself is moving sharply, such as around volatility spikes.

Vomma stands in the same relationship to vega that gamma stands in to delta: it is the rate of change of a first-order Greek, making it a second-order Greek in its own right. Where vega tells you how much an option's price moves for a given change in implied volatility, vomma tells you how much that vega itself is about to change as volatility moves further.

Vomma is not evenly distributed across the chain. At-the-money options carry relatively low vomma; far out-of-the-money options, particularly with more time to expiration, carry the highest vomma, because their vega itself is more convex - it changes more per unit of volatility move the further out of the money the strike sits.

This matters most during genuine volatility spikes, such as those that show up as backwardation in the VIX term structure. A book with large vomma exposure - often concentrated in deep out-of-the-money tail hedges - can see its vega change quickly as implied volatility itself accelerates, which is a meaningfully different risk than simply being long or short vega at a fixed level.

Vomma is the vol-of-vol member of the second-order Greek family, distinct from vanna, which links a price-sensitivity Greek (delta) to volatility, and from charm, which links delta to time. Vomma is purely about how volatility sensitivity itself changes as volatility moves.

Because vomma is highest for far out-of-the-money strikes, positions built from the wings of the volatility smile - such as strangles, risk reversals, or tail hedges - carry meaningfully more vomma exposure than a simple at-the-money position of similar size. This is one reason desks that run large books of out-of-the-money options monitor vomma specifically rather than relying on vega alone to describe their volatility risk.

A position with high positive vomma benefits from large moves in implied volatility in either direction, similar to how a long-gamma position benefits from large moves in the underlying's price in either direction - vomma is, in that sense, the vega-domain analog of gamma's price-domain convexity. A position with negative vomma faces the mirror-image risk: it is hurt by large swings in implied volatility regardless of direction.

Vomma is closely watched around scheduled events where a sharp move in implied volatility is plausible in either direction - volatility could spike on a surprise or collapse once the outcome is known - since a high-vomma position's sensitivity to volatility itself, not just its current level, shapes how the position behaves as that uncertainty resolves one way or the other.