Vomma

The Vomma is the rate at which the vega of an option will react to volatility in the underlying market. It is the second order derivative of the option value with respect to volatility. It 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. This is known as positive vega convexity.

For options that are sensitive to changes in the underlying market, Vomma is considered especially important.

Vomma is one of the Greeks of option pricing.

All the Greeks: Delta, Gamma, Vega, Theta, Vomma