Vomma
Canonical definition, formula, interpretation, and API reference.
Definition
Vega convexity — how vega changes with implied vol. Also called volga. High vomma means dramatically more vol sensitivity as vol rises.
Formula
Vomma = dVega/dVol = Vega x (d1 x d2) / sigma
Second derivative of option value with respect to implied volatility.
Inputs
vegaimplied vol
Output
vomma value
Interpretation
- High vomma: convex payoff benefits tail hedging
- Low vomma: linear vol sensitivity
- Important for vol-of-vol traders
API Reference
Endpoint
GET /v1/pricing/greeks
Tier
Free
Response field
second_order.vomma
Why Vomma Matters for Trading
TL;DR
Vomma is vega convexity. Long vomma = vega grows with vol — the structural long-vol-of-vol trade. Short vomma = the classic VIX-shock blow-up.
- What it measures
- ∂Vega/∂σ — the second derivative of option value with respect to IV.
- What it signals
- Your P&L curvature to IV changes. High vomma means small vol moves matter a lot when repeated.
- Why we measure it
- Short vomma is how sellers of deep OTM options get destroyed in VIX events. Long vomma is how VIX-call buyers get rich on the same events.
- Who uses it
- VIX options traders, structured-products desks, tail-risk funds.
How to read Vomma
Long vomma (deep OTM buyer)
- Vega grows when vol grows
- Convex payoff in VIX spikes
- Tail-risk protection
- VIX calls dominate
Good for: tail hedges, VIX longs
Short vomma (deep OTM seller)
- Vega shrinks when vol grows
- Exposed to vol-of-vol
- VIX spikes destroy the book
- Short-wing traps
Bad for: naked wing sells
ATM (vomma-flat)
- Vomma near zero
- Vega linear
- Standard delta-gamma-vega regime
- Most retail trades
Flat
Rules of thumb
- Vomma peaks at wings. Deep OTM options have the biggest vomma. ATM is essentially zero.
- Short-vomma blow-ups are the VIX event story. Feb 2018, Aug 2015 — all short-vomma disasters.
- Pair with vega. Vomma is the second-order on vega. Use both to size vol risk.
- Useful for tail-risk pricing. Vomma trades are bets on vol moving meaningfully, not just moving.
- Quant-only territory. Retail using vomma directly is rare — most manage vomma implicitly through strike selection.
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