Greeks Monitor — Vol System

Unstable Nodes

2 / 69

|vomma_z| > 2.0

Max Vomma

4,086

365d maturity nodes

Min Vomma

-119

Near-expiry nodes

Mean Vomma

1,268

Across all 69 nodes

Vomma Heatmap — Maturity × Log-Moneyness

Low vomma

High vomma

Unstable (z > 2)

Maturity	-0.30	-0.25	-0.20	-0.15	-0.10	-0.05	+0.00	+0.05	+0.10	+0.15	+0.20
14d	z=-1.1 8	z=-1.0 88	z=-0.9 249	z=-0.6 590	z=-0.0 1221	z=-0.7 438	z=-0.9 232	z=-1.0 32	z=-1.1 12	z=-1.1 7	z=-1.1 4
30d	z=-0.8 296	z=-0.4 827	z=-0.0 1219	z=+0.3 1580	z=-0.0 1231	z=-0.8 324	z=-0.9 160		z=-1.1 0		z=-1.1 0
60d	z=+0.1 1331	z=+0.6 1974	z=+0.8 2175	z=+0.8 2153	z=-0.2 1069	z=-0.9 236	z=-1.0 106	z=+0.7 2070
91d	z=+0.7 2148	z=+1.1 2555	z=+1.1 2537	z=+0.8 2277	z=-0.3 946	z=-0.9 186	z=-1.0 73	z=+0.3 1638
180d	z=+1.7 3337	z=+1.6 3137	z=+1.3 2776	z=+0.8 2219	z=-0.5 716	z=-1.0 94	z=-1.1 8	z=-0.2 977
365d	z=+2.4 4070	z=+1.6 3202	z=+1.1 2572	z=+0.5 1848	z=-0.7 408	z=-1.1 -59	z=-1.2 -119	z=-0.7 442	z=+2.4 4086

Cells show vomma value (∂²V/∂σ²) and z-score. X-axis = log-moneyness ln(K/S) bins (0.05 wide). Red-bordered cells: |z| > 2 — P&L convex to vol-of-vol shocks. All three unstable nodes are at the 1-year maturity.

QV Convexity × 10⁴ — by Maturity

Quadratic variation convexity measures the sensitivity of the straddle P&L to variance path roughness. Higher values at long maturities reflect accumulated vomma exposure.

Mean Vanna — by Maturity (∂²V/∂S∂σ)

Vanna is the cross-greek measuring how delta changes with implied vol. Negative mean vanna at short maturities reflects the leverage effect: rising spot → falling IV → negative delta adjustment.

Vomma Z-Score vs Log-Moneyness — All Maturities

Points above z=+2 (dashed red line) are flagged as unstable. Longer maturities (darker points) show higher absolute vomma due to greater vol-of-vol accumulation time.

Unstable Node Details

Maturity	Strike K	Log-Moneyness	Implied Vol	Vomma	Z-Score	Risk Flag
365d	7,755	+0.100	21.1%	4,086	+2.37	UNSTABLE
365d	5,034	-0.300	31.0%	4,070	+2.36	UNSTABLE