DvommaDvol

Meaning

Noun

• A third-order measure of derivative price sensitivity, expressed as the rate of change of vomma with respect to changes in the volatility of the underlying asset.

Related

Similar words

• ultima

Broader meaning words

• Greeks

Origin

• From the mathematical formula $\backslash frac\{\backslash partial\; vomma\}\{\backslash partial\; \backslash sigma\}$, the partial derivative of vomma with respect to volatility (σ), pronounced as "D vomma (by) D vol(atility)".