Username: LuckyMan Rating: Asked to: Talitha Taslim Date Created: 03 Jul 2019 |
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Category | 28 |
Tag | Financial |
Question | What is Vomma? |
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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