BackQuant Glossary
Vomma
A second-order Greek measuring how vega changes with implied volatility. Long vomma positions benefit when IV moves substantially in either direction. Useful for traders who want positive convexity to vol shifts without picking direction.
Related terms
Vega
A first-order Greek measuring an option’s sensitivity to a one-percentage-point change in implied volatility. Long options are long vega; short options are short vega. Vega is highest for at-the-money options on longer expiries.
Long
A position that profits when price rises. Buying spot, going long a perp, owning a call, or being short a put are all long positions. Opposite of short.
Vanna
A second-order Greek measuring how delta changes with implied volatility. Vanna becomes important when IV is shifting fast (during news, vol spikes, or vol crush). Vanna flow is a recognized cause of post-event drift in spot.
VIX
The CBOE Volatility Index, the implied 30-day volatility of the S&P 500 calculated from a basket of SPX options. The VIX is the equity market analog to BTC DVOL. Often used as a proxy for global risk appetite, including in crypto correlation regimes.
Volatility Risk Premium
The persistent gap between implied volatility and subsequently realized volatility. Implied tends to overshoot realized over long horizons, which is why systematic option-selling strategies have positive expected value. The premium can vanish or invert in stress regimes.
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