Zomma is a financial term that refers to the sensitivity of an option's delta to changes in the volatility of the underlying asset. Delta measures the rate of change of an option's price with respect to changes in the price of the underlying asset. Zomma quantifies how changes in volatility impact the delta of an option.In general, options with a higher zomma will have a more significant impact on the delta as volatility increases. For example, an option with a high zomma would be more sensitive to changes in volatility compared to an option with a low zomma. This is because options with a higher zomma are more likely to be in-the-money as volatility increases, which will result in a larger increase in the option's delta.Zomma is used by options traders and investors to help manage risk and make more informed trading decisions. By understanding the impact of volatility changes on the delta of an option, traders can better anticipate and manage changes in their positions.In conclusion, Zomma is a financial term that refers to the sensitivity of an option's delta to changes in the volatility of the underlying asset. Zomma is used by traders and investors to better understand the impact of volatility changes on their options positions.
