Investopedia explains 'Vomma'
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.
|
