Vomma

Q: What is vomma?

Vomma measures how vega changes with vol — it's vega's convexity. High vomma means the option gains increasingly more value as vol rises.

Q: Why is vomma called volga?

Vomma and volga are the same greek. Volga = 'vol gamma' — the gamma of the option with respect to vol rather than spot.

Q: Why does Vomma matter for trading?

Vomma is the convexity of the vega curve — how much your vol exposure accelerates when vol moves. Long vomma is a bet that vol will surprise to the upside; short vomma is a bet that it won't. Every historical VIX blow-up has a short-vomma trader on the losing side.

Q: When is Vomma good versus bad for a trader?

Long vomma (typically long OTM options or VIX calls) is good as a tail-risk hedge and in vol-of-vol regimes. Short vomma is good in calm, narrow-range markets but dangerous at the wings — the source of most short-vol blow-ups. ATM positions are vomma-neutral; trade standard delta-gamma-vega.

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.