Volga (Vomma)
Volga (also called Vomma) measures the sensitivity of vega to changes in implied volatility. It's the "gamma of vega" — telling you how your vol exposure changes as vol moves.
Interactive Volga Curve
Explore how volga varies across spot prices. Wing options (deep OTM) have the highest volga.
Position:
Days to Expiry30d
1d90d
Implied Volatility50%
10%150%
Volga is the "gamma of vega." Long volga = convex in vol. Your vega increases as vol rises, amplifying gains in vol explosions.
Spot Price
$100.0k
Volga
-0.98
Vega
$113.80
Convexity
Low
Volga = -0.98 → If IV rises 10%, vega increases by ~$-9.82.
Key Properties
Always positive: For long options
Highest at: Deep OTM wings
Near zero at: ATM options
Volga by Moneyness
Long vs Short Volga
Long Volga
Bought wings
- Convex in vol
- Vega increases as vol rises
- Make more per vol point as vol explodes
- Disproportionate gains in vol spikes
Wing options give you this convexity — you profit more than linearly in vol moves.
Short Volga
Sold wings
- Concave in vol
- Vega exposure works against you
- Losses accelerate as vol rises
- Disproportionate losses in vol spikes
Selling wings means taking concave risk — you lose more than linearly in vol explosions.
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Volga explains why wing options trade at elevated IV (the "smile premium"). Buyers pay for convexity — the ability to profit disproportionately in vol explosions. Sellers charge for taking concave risk.
Vol-of-Vol Exposure
High volga portfolios are exposed to "vol of vol":
Practical Applications
Related: