initially increases with distance from the money (but drops off as vega drops off). (Specifically, vomma is positive where the usual d1 and d2 terms are of the same sign, which is true when d1 < 0 or d2 > 0.) Veta Veta or DvegaDtime measures the rate of change in the vega with respect to the passage of time. Veta is the second derivative of the value function; once to volatility and once to time. It is common practice to divide the mathematical result of veta by 100 times the number of days per year to reduce the value to the percentage change in vega per one day. Vera Vera (sometimes rhova) measures the rate of change in rho with respect to volatility. Vera is the second derivative of the value function; once to volatility and once to interest rate. The word 'Vera' was coined by R. Naryshkin in early 2012 when this sensitivity needed to be used in practice to assess the impact of volatility changes on rho-hedging, but no name yet existed in the available literature. 'Vera' was picked to sound similar to a combination of Vega and Rho, its respective first-order Greeks. This name is now in a wider use, including, for example, the Maple computer algebra software (which has 'BlackScholesVera' function in its Finance package). Second order partial derivative with respect to strike K This partial derivative has a fundamental role in the Breeden-Litzenberger formula, which uses quoted call option prices to estimate the risk-neutral probabilities implied by such prices. For call options, it can be approximated using infinitesimal portfolios of butterfly strategies. Third-order Greeks Speed Speed measures the rate of change in Gamma with respect to changes in the underlying price. This is also sometimes referred to as the gamma of the gamma or DgammaDspot. Speed is the third derivative of the value function with respect to the underlying spot price. Speed can be important to monitor when delta-hedging or gamma-hedging a portfolio. Zomma Zomma measures the rate of change of gamma with respect to changes in volatility. Zomma has also been referred to as DgammaDvol. Zomma is the third derivative of the option value, twice to underlying asset price and once to volatility. Zomma can be a useful sensitivity to monitor when maintaining a gamma-hedged portfolio as zomma will help the trader to anticipate changes to the effectiveness of the hedge as volatility