An option sensitivity measure (a second-order greek) that captures the second order sensitivity of an option to the volatility of its underlying. Volga is the second derivative of the option price with respect to volatility. In other words, volga measures the rate of change of vega due to change in volatility. The following formula defines volga:

Volga is positive for options not in the money, and generally increases as the option gets deeper out-of-the-money. However, it decreases when vega drops. A positive volga means a position will become “long vega” as implied volatility increases and short vega otherwise.

Volga is alternatively known as vomma, vega gamma, or vega convexity.