An options greek used to measure the change in gamma in relation to changes in the volatility of the underlying asset. Zomma, though considered a third level greek, is a first derivative of volatility, a second degree derivative of an underlying asset and third as it is related to the value of that underlying asset.


Options traders and risk managers most often use a measure of zomma to determine the effectiveness of a gamma hedged portfolio. Zomma's measure will be a measure against the change in volatility of the portfolio, or underlying assets of the portfolio.

Also known as DgammaDvol.

  1. Hedge

    Making an investment to reduce the risk of adverse price movements ...
  2. Theta

    A measure of the rate of decline in the value of an option due ...
  3. Vega

    The measurement of an option's sensitivity to changes in the ...
  4. Gamma

    The rate of change for delta with respect to the underlying asset's ...
  5. Volatility

    1. A statistical measure of the dispersion of returns for a given ...
  6. Greeks

    Dimensions of risk involved in taking a position in an option ...
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