# Zomma

Zomma is a third-order Greek which shows changes in gamma (accelerating directional exposure) in relation to changes in implied volatility (the percentage range that the options market is pricing in with a 68.3% chance over the next year).

From Natenberg’s Options Volatility and Pricing, 2nd ed:

The sensitivity of an option’s gamma to a change in implied volatility is its zomma… The zomma is large for at-the-money calls and puts, with gamma values becoming smaller as volatility rises and larger as volatility falls (a negative zomma). Calls with deltas close to 5 or 95 and puts with deltas close to -5 or -95 also have large zomma values… Reducing time or volatility will increase the zomma, making an option’s gamma more sensitive to changes in volatility. Increasing time or volatility will reduce the zomma, making an option’s gamma less sensitive to changes in volatility. Calls with deltas close to 15 or 85 and puts with deltas close to -15 and -85 have zomma values close to zero. The gamma values of such options will be relatively insensitive to changes in volatility. (2015, p. 154)

The dynamic here is that as implied volatility increases, gamma decreases because there are fewer deltas changing in between strikes. Zomma is strongest during low implied volatility or when there is little time left. It is also the strongest very near the money or very deep OTM. But at the range of about 15 delta OTM, zomma is not in play and there is only an insignificant effect from it.