Why is Vomma/Volga measures convexity
Why is Vomma/Volga measures convexity?
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Because of Jensen’s Inequality, while volatility is stochastic the Vomma/Volga measures convexity because of random volatility and therefore gives you a concept of how much to add or subtract by an option’s value.
What is Volatility? Answer: It is annualized standard returns’ deviation.
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