Zomma (gamma sensitivity to volatility)
Zomma is the third-order option greek that measures how an option's gamma changes when implied volatility changes. Higher implied volatility lowers gamma near the strike and raises it in the wings, so the same open interest produces a flatter, wider gamma profile when volatility is high.
Senzoukria · Glossary · Updated September 2026
At a glance
- Definition
- ∂Γ/∂σ
- Black-Scholes
- Zomma = Γ·(d1·d2 − 1)/σ
- Sign
- Negative near the money, positive in the wings
Definition
Zomma is the derivative of gamma with respect to implied volatility. In Black-Scholes it equals Γ × (d1·d2 − 1)/σ. Near the money d1·d2 is close to zero, so zomma is negative: more volatility spreads the option's delta transition over a wider range of prices and lowers the peak gamma. Far enough from the strike, d1·d2 exceeds one and zomma turns positive: the same increase in volatility brings distant options into play and raises their gamma.
Worked example
Spot 100, 30 days, zero rates, implied volatility 20%. The at-the-money option has a gamma of 0.0695 and a zomma of −0.0035 per volatility point; at 21% its gamma is 0.0662. The 110 call has a gamma of 0.0183 and a zomma of +0.0016 per point; at 21% its gamma is 0.0198. One point of volatility moves gamma in opposite directions on the two strikes.
- Rising implied volatility flattens and widens the gamma hump.
- Falling implied volatility sharpens it around the strike.
Consequences for gamma exposure
A gamma exposure figure is only as stable as the implied volatilities fed into it. With open interest unchanged, a volatility spike lowers the gamma concentrated at the strikes near spot and spreads exposure over more strikes, so walls look less pronounced and the curve flatter; a volatility collapse does the opposite. This is one reason intraday GEX levels move while open interest, published once a day, stays fixed. It also means that comparing two providers' levels is only meaningful if they used comparable implied volatilities.
In Senzoukria
Senzoukria does not display zomma. In its GEX module, gamma comes from the options provider or, on the Databento and ThetaData paths, from a local Black-Scholes computation using the chain's implied volatility, so any change in implied volatility between two chain snapshots changes the gamma figures and the key levels. The Calculation assumptions panel shows the chain snapshot time and the spot time separately, which is where to check whether two readings rest on the same volatility inputs.
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Frequently asked questions
- Why would higher volatility reduce gamma?
- Gamma measures how sharply delta changes with price. With higher volatility, the model already expects large moves, so delta changes more gradually as spot moves through the strike. The total area under the gamma curve stays comparable, but it is spread over a wider range of prices.
- Is zomma the same as vanna?
- No. Vanna is the change in delta for a change in implied volatility. Zomma is the change in gamma for a change in implied volatility, one derivative higher. Both describe how volatility reshapes the hedging needs of an option book.