A cross-Greek (a sensitivity measure for two-asset options or multiple-asset options) that captures the rate of change of vomma in one underlying asset in reaction to a change (e.g., 1%) in the level of another underlying.

Mathematically, cross-vomma is calculated as per the following formula:

Where: c is the option’s value (a call value), σ₁ is the standard deviation of the first underlying, and σ₂ is the standard deviation of the second underlying, δ² is the second partial derivative, δ is the first partial derivative.

Like other cross Greeks, cross vomma is used by traders to calculate the sensitivity for options on two underlyings or more.