vomma

noun

vomma

noun

UK /ˈvɒm.ə/ · US /ˈvɑ.mə/

Etymology Blend of volatility + gamma.

Business, Finance A second-order measure of derivative price sensitivity, expressed as the rate of change of vega with respect to changes in the volatility of the underlying asset.

Synonyms: DvegaDvol, vega convexity, volga
Hypernyms: Greeks

Entry derived from the Wiktionary, under licence CC BY-SA 4.0 — list of authors.