Volga
Volga, also called vomma or DvegaDvol, is a second-order options Greek that measures the rate of change of vega with respect to implied volatility — in other words, how much an option's vega increases or decreases as volatility itself moves.
Volga answers a question that pure vega cannot: if volatility rises by another point, by how much will the option's sensitivity to volatility itself change? Just as gamma is to delta, volga is to vega — it is the second derivative of the option price with respect to implied volatility, and it tells traders how convex their volatility exposure is.
Options with high volga benefit disproportionately from large swings in implied volatility. Far out-of-the-money options carry the highest volga because their vega is small at current volatility levels but grows rapidly if volatility expands. This is why long strangles — positions that own both an OTM call and an OTM put — have significant volga exposure. If the VIX spikes from 15 to 30, the vega of each wing increases substantially, and the entire position revalues upward far more than a simple vega estimate would indicate.
Volatility traders at options-focused hedge funds specifically seek high-volga positions when they anticipate a regime change from low-vol to high-vol environments. Conversely, volga works against sellers of far out-of-the-money options during volatility explosions: the positions that seemed safely priced at low-vol levels suddenly carry much more vega than anticipated, and the potential losses compound.
The CBOE offers a range of volatility products — including VIX options and VIX futures — where volga is a central consideration. Traders in VIX options are explicitly trading volatility-of-volatility, making volga a primary risk metric rather than a second-order afterthought.
For most retail equity options traders working with standard CBOE-listed equity contracts, volga is a background factor. It becomes practically relevant only when constructing long-dated volatility strategies, managing positions through earnings cycles with elevated IV, or trading index options during macro stress events where implied volatility can double in a matter of days.