Vomma (also vega convexity or volga) measures how an option’s vega changes as implied volatility changes. It’s a second-order Greek — the “acceleration” of your volatility exposure.

What vomma captures

Vega tells you how much an option gains per point of IV. But vega isn’t constant — it grows or shrinks as IV moves. Vomma measures that: high vomma means your volatility exposure increases as vol rises, so the option can gain value at an accelerating rate in a vol spike. It’s convexity applied to volatility.

Where vomma lives

Vomma is highest for out-of-the-money options and lowest for at-the-money ones (whose vega stays roughly constant with vol). That’s part of why far-OTM options can behave explosively when volatility surges — their vega, and thus their price sensitivity, ramps up. It also connects to the volatility skew and vol-of-vol.

Vega is your volatility exposure; vomma is how fast that exposure grows when volatility itself moves. It’s why a vol spike can light up OTM options.

What it means for a scalper

Vomma is advanced and you won’t trade it directly, but it explains why option behavior in high-vol regimes can be non-linear, and why OTM lottos occasionally explode. It rounds out the higher-order Greek picture alongside vanna and charm.