Options Vomma: Understanding the Vol of Vol and Vega Convexity
· 3 min read
In the "Greeks" dashboard, Vega is the primary indicator of how an option's price reacts to changes in Implied Volatility (IV). However, much like Delta has Gamma (its rate of change), Vega has Vomma. To truly master volatility trading, one must understand the convexity of Vega—otherwise known as Vomma.