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Old 11-17-2009, 08:38 PM
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Double High C Double High C is offline
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Default Vomit?

Vomit[23], Volga[24], Vega Convexity[25] or Vega gamma measures second order sensitivity to volatility. Vomit is the second derivative of the option value with respect to the volatility, or, stated another way, vomit measures the rate of change to vega as volatility changes.
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Old 11-18-2009, 07:54 AM
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They did that on purpose, in naming that, uh, "greek".

People in charge of hedging programs sure were vomiting over the last couple years, I bet.

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