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Username: LuckyMan

Rating:
Guru Stars

Asked to: Talitha Taslim

Date Created: 03 Jul 2019
Category 28
Tag Financial
Question What is Vomma?
Advice from Guru
Hello LuckyMan,

Vomma is the rate at which the vega of an option will react to volatility in the market. It is a second order derivative for an option’s value. Vomma demonstrates the convexity of vega. A positive value for vomma indicates that a percentage point increase in volatility will result in an increased option value which is demonstrated by vega’s convexity.

Vomma is part of the group of measures known as the "Greeks" which are used in options pricing. Other measures include delta, gamma and vega.

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