What is 'Vomma'
Vomma is the rate at which the vega of an option will react to volatility in the market. It is a second order derivative for an option’s value. Vomma 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 which is demonstrated by vega’s convexity.
Vomma is part of the group of measures known as the "Greeks" which are used in options pricing. Other measures include delta, gamma and vega.
BREAKING DOWN 'Vomma'
Vomma and vega are two factors involved in understanding and identifying profitable option trades. The two work together in providing detail on an option's price and the option price’s sensitivity to market changes. They can influence the sensitivity and interpretation of the BlackScholes pricing model for option pricing.
Vega
Vega helps an investor to understand a derivative option’s sensitivity to volatility occurring from the underlying instrument. Vega provides the amount of expected positive or negative change in an option’s price per 1% change in the volatility of the underlying instrument. A positive vega indicates an increase in the option price and a negative vega indicates a decrease in the option price.
Vega is measured in whole numbers with values usually ranging from 20 to 20. Higher time periods result in higher vegas. Vega values signify multiples representing losses and gains. For example a vega of 5 on Stock A at $100 would indicate a loss of $5 for every point decrease in implied volatility and a gain of $5 for every point increase.
The formula for calculating vega is below:
Vega and Vomma
Vomma is a second order Greek derivative which means that its value provides insight on how Vega will change with implied volatility of the underlying instrument. If a positive vomma is calculated and volatility increases, vega on the option position will increase. If volatility falls, a positive vomma would indicate a decrease in vega. If vomma is negative, the opposite occurs with volatility changes as indicated by vega’s convexity.
Generally, investors with long options should look for a high, positive value for vomma, while investors with short options should look for a negative one.
The formula for calculating vomma is below:
Using Vega and Vomma in Options Trading
Vega and vomma are measures that can be used in gauging sensitivity of the BlackScholes option pricing model to variables affecting option prices. They are considered along with the BlackScholes pricing model when making investment decisions.

Ultima
The rate at which the vomma of an option will react to volatility ... 
Vega Neutral
Vega neutral is a method of managing risk in options trading ... 
Vega
The measurement of an option's sensitivity to changes in the ... 
DvegaDtime
The rate at which the vega of an option or warrant will change ... 
Atlantic Spread
An options trading strategy that involves purchasing both an ... 
Speed
The rate at which the gamma of an option or warrant will change ...

Personal Finance
How Much Money Do You Need to Live in Las Vegas?
Learn how much it costs to live in Las Vegas and how that amount varies based on whether you are a student, a professional or an unemployed jobseeker. 
Trading
Options Greeks
Get to know the essential risk measures and profit/loss guideposts in options strategies. 
Trading
Using the "Greeks" to Understand Options
These riskexposure measurements help traders detect how sensitive a specific trade is to price, volatility and time decay. 
Insights
Making Money In Las Vegas
It's never been a worse time to break into the ranks of Vegas dealers and pit bosses. 
Investing
Casino Stocks Rise on Vegas, Macau Revenue Growth
In a happy pair of wins for U.S. casino stocks, both Las Vegas and its Chinese counterpart, Macau, recorded substantial growth in overall monthly gambling revenues. In Macau, gross gaming revenue ... 
Investing
Maybe Las Vegas Won't Get the Raiders After All
Sheldon Adelson, the billionaire founder and CEO of Las Vegas Sands (NYSE: LVS), convinced the desert gambling mecca to agree to finance a football stadium for him, ostensibly so he could bring ...

How does implied volatility impact the pricing of options?
Learn about two specific volatility types associated with options and how implied volatility can impact the pricing of options. Read Answer >> 
How are Bollinger Bands® used in options trading?
Use Bollinger Bands to identify volatility changes and place options trades at the right time; profit in bull or bear markets ... Read Answer >> 
How is implied volatility used in the BlackScholes formula?
Learn how implied volatility is used in the BlackScholes option pricing model, and understand the meaning of the volatility ... Read Answer >> 
Implied Volatility
Implied volatility is an important concept in option trading. Learn how it is calculated using the BlackScholes option pricing ... Read Answer >> 
What is the relationship between implied volatility and the volatility skew?
Learn what the relationship is between implied volatility and the volatility skew, and see how implied volatility impacts ... Read Answer >>