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, known as positive vega convexity.

Vomma is part of the group of measures known as the "Greeks" (other measures include delta, gamma and vega) which are used in options pricing.

Vomma is considered one of the more important option pricing Greeks, especially for options that are sensitive to changes in the underlying market. Investors with long options should look for a high, positive value for vomma, while investors with short options should look for a negative one. It is also useful in a delta hedging strategy under traditional methods, but is less useful in dynamic delta hedging.

Vomma calculations form an integral part of the Black-Scholes model.

Investment dictionary. . 2012.

Look at other dictionaries:

  • Greeks (finance) — The Greeks redirects here. For the ethnic group, see Greeks. In mathematical finance, the Greeks are the quantities representing the sensitivities of the price of derivatives such as options to a change in underlying parameters on which the value …   Wikipedia

  • Ultima — The rate at which the vomma of an option will react to volatility in the underlying market. It is the third order derivative of the option value with respect to volatility, or the derivative of vomma with respect to the derivative of volatility.… …   Investment dictionary

  • Andøy — Infobox Kommune name = Andøy county = Nordland idnumber = 1871 landscape = Vesterålen capital = Andenes governor = Jonni Helge Solsvik (H) governor as of = 2005 arearank = 169 area = 656 arealand = 616 areapercent = 0.20 population as of =… …   Wikipedia

  • Volmari Iso-Hollo — Volmari Vomma Fritijof Iso Hollo (May 1, 1907 June 23, 1969) was a Finnish athlete, winner of two gold medals in 3000 m steeplechase at the Olympic Games.Born in Ylöjärvi, Finland, Volmari Iso Hollo was one of the last in a group of Finnish… …   Wikipedia

  • List of sportspeople by nickname — This is a list of sportspeople by nickname.Aviation sport * The Flying Matador = Alejandro Maclean, drifting driver [http://www.formulad.com/drivers/ryan tuerck.html] * Hap or Happy = Kevin Harvick, flagicon|USA auto racer * Haru = Haruchika Aoki …   Wikipedia

  • Villa Cavrois — in Croix is a large mansion built in 1932, for Paul Cavrois, an industrialist from Roubaix he was working in the textile industry by Parisian architect Robert Mallet Stevens.A modern conceptVilla Cavrois is a testimony of a lifestyle as it was… …   Wikipedia

  • Volmari Iso-Hollo — Volmari Fritijof Vomma Iso Hollo (* 1. Mai 1907 in Ylöjärvi; † 23. Juni 1969 in Heinola) war ein finnischer Leichtathlet und zweifacher Olympiasieger im 3000 m Hindernislauf. Iso Hollo war einer der letzten in einer Reihe von finnischen… …   Deutsch Wikipedia

  • Bebida energizante — Saltar a navegación, búsqueda Una bebida energética es una bebida sin alcohol y con algunas virtudes estimulantes que desde hace más de una década han salido al mercado mundial ofreciendo al consumidor supuestas virtudes regeneradoras de la… …   Wikipedia Español

Share the article and excerpts

Direct link
Do a right-click on the link above
and select “Copy Link”

We are using cookies for the best presentation of our site. Continuing to use this site, you agree with this.