The convexity of vega is the second-order measure of derivative price sensitivity, capturing the rate of change of vega with respect to changes in the volatility (price volatility) of the underlying asset of a derivative (particularly an option).

Vega convexity is a trading strategy where gains could be earned from changes in volatility, particularly the potential gains from the convex value development of an option over time. The strategy is said to be a short vega position when volatility decreases, while is called a long vega in the opposite scenario. A trader can buy vega at lower volatility levels and sell vega at higher volatility levels.

Vega convexity is also known as DvegaDvol, volga, or vomma.