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Hi, I just successfully modelled the Volga surface for SPY options just before market close:
[SPY Volga Surface](https://preview.redd.it/zjonsc6wn7kg1.png?width=1806&format=png&auto=webp&s=cd5747efb95376ceb87b92550af8806d9cf4aee3)
So, you sold the OTM strangles, you stress-tested a 5-point vol move, looked at the potential drawdown, and said, "I can handle that". Then the spike actually hit, as last week, and you didn't just lose what you expected, you lost double.
Why? Because your platform lied to you, most retail brokers show you a static snapshot of your exposure RIGHT NOW. They don't show you what happens to that exposure when IV moves from 15 to 25. The Reality is Vega isn't a constant.
When volatility rips, the entire surface reprices, your short Vega becomes significantly more negative exactly when you need it to shrink. And that's **Volga** (also known as Vomma).
If Delta has Gamma, Vega has Volga, it's the second-order Greek that measures how your Vega changes as volatility moves. If you're short the wings, you are Short Volga.
My advice: **stop sizing your trades based on today's surface!!!** If you don't model the second-order move, you don't actually know your true position size. Before you put on that "safe" income trade, ask yourself: "If IV doubles tomorrow, what is my new Vega? Can I still afford to hold this position when my exposure is 3x larger?"