Last week I briefly discussed convexity as it relates to bond pricing. Vomma is similar in that Vomma is to Vega as Convexity is to Duration.
Vomma is the rate of change in Vega. Vega is the change in price of an option due to a change of 1% in volatility estimate of the underlying investment.
Why did I write about this? Writer’s block. That, and “Vomma” just strikes me as funny sounding.
If you really want to learn more about options, check out Mark Wolfinger’s blog. It looks like he’s launching a new premium site (paid content), but there is plenty of free content available there.