Volga (Vomma)

What Is Volga?

Volga (also called vomma) measures how an option’s vega changes with respect to IV changes. It’s the second derivative of option price with respect to IV, capturing the curvature of the vega surface rather than the slope. A position with positive volga gains vega as IV rises and loses vega as IV falls; negative volga does the opposite.

Volga is a second-order Greek, analogous to how gamma relates to delta. Just as gamma describes how delta accelerates with price movement, volga describes how vega accelerates with volatility movement. For long option positions, both gamma and volga are positive — convexity works in the holder’s favor for both price and volatility dimensions.

Volga is largest for deep out-of-the-money options. An OTM option has low vega at current IV levels, but if IV doubles, the option’s sensitivity to further IV changes grows rapidly. This is the volga effect: the further OTM the strike, the more vega it accumulates when IV expands. ATM options, which already have high vega, have relatively lower volga because their vega sensitivity doesn’t accelerate as dramatically.

Why It Matters for Options Traders

Volga becomes relevant when implied volatility itself is volatile — when VIX is moving significantly, a macro event has disrupted the volatility regime, or skew is shifting rapidly. In stable, low-IV environments, volga has minimal practical impact because vega isn’t changing much. In volatile-volatility regimes, it becomes a meaningful P&L driver.

Options traders selling volatility through straddles, strangles, or iron condors implicitly sell volga. When IV is stable, this works in their favor: vega stays flat, and theta does its work. But when IV spikes sharply, the position gains vega rapidly via volga, and losses compound. This is part of why volatility selling strategies require strict risk management: moderate IV expansion hurts through vega, but large expansion hurts additionally through volga.

Conversely, traders buying tail risk (deep OTM puts or calls) are buying volga. These positions have low vega at current IV but accumulate significant vega if IV spikes — exactly the scenario they’re hedging against. The volga content of tail options is a key reason they remain valuable even when current IV is low.

Key Characteristics

• Second derivative of vega: Measures vega convexity — how vega itself changes as IV moves
• Largest for OTM options: Deep OTM strikes accumulate vega rapidly during IV expansions, giving them high volga content
• Positive for long options: Buying options gives positive volga — convexity in the volatility dimension works in your favor
• Negative for sellers: Short option positions carry negative volga, creating accelerating losses as IV spikes
• Tail risk and volga: Deep OTM puts for portfolio protection are partly a volga purchase — position gains vega dramatically during crisis
• Volatility-of-volatility proxy: High volga exposure is effectively a bet on the volatility of volatility (often tracked via VVIX)