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Vomma

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Vomma
The Vega of an Option is not constant. Vega changes as Spot changes and as Volatility changes. The vomma of an Option is defined as the change in Vega for a change in Volatility. Vomma measures the Convexity of an Option price with respect to Volatility. Vega is to vomma (Volatility Gamma) as Delta is to Gamma for Spot movements. Holders of options with a High vomma benefit from Volatility of Volatility.

See also Vega
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