Vomma, also known as volga or volatility gamma, is a second-order sensitivity among the option Greeks. It measures how much an option's vega changes when implied volatility changes. Mathematically it is the second derivative of the option value with respect to volatility, . An option with positive vomma gains vega as volatility rises and loses vega as it falls, so gains from a rise in volatility are larger than losses from an equal fall.
Vomma is close to zero for at-the-money options and positive for options well away from the money, peaking at moderately out-of-the-money strikes. A trader who owns such options is long vomma and benefits when implied volatility itself is volatile. Because this convexity has value, the market charges for it, which is one reason far strikes trade at higher implied volatilities in a volatility smile. Vomma is usually monitored alongside vanna, especially in pricing currency options.