Zomma is a measure used on derivatives market. It describes the derivative price sensitivity. Zomma is a rate of change of gamma with respect to changes in the volatility of the underlying asset. Zomma is used by risk managers to determine the effectiveness of gamma hedged portfolio.
Zomma can be found also as DgammaDvol - name based on index construction.
- Judge, A. (2014). Quantum Wampum Essential to Navigating Ragnarok.
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