Volga (Vomma)

Volga — also called Vomma or Wega in some quant contexts — is the second-order derivative of an option's price with respect to implied volatility. Mathematically: Volga = ∂Vega/∂σ = ∂²V/∂σ². It measures the rate of change of Vega as implied volatility changes. A positive Volga means that as IV incre