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.
