Volga
The second-order sensitivity of an option's price to changes in implied volatility -- specifically, the rate at which vega itself changes as IV moves. Volga is small for at-the-money options near current IV levels but becomes material for out-of-the-money options and during stress regimes when IV is moving rapidly. Practitioners use volga to refine vol-of-vol hedges and to explain why some option positions outperform or underperform their first-order vega expectations during volatility spikes. For a lifelong investor, volga is mostly a technical curiosity, but it explains why deeply OTM puts can re-price more aggressively than vega alone would suggest during real crashes.
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Related terms
American Option · Asian Option · Barrier Option · Basket Option · Butterfly Spread · Calendar Spread
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