Struggling to Grasp Vomma/Volga of OTM Options

[ironchef]

I agree though BS is a rather robust framework if you really know it flaws. But I programmed better myself in Visual Basics while i was an options trader. I was really good how to model skew on DIA.

For us non financial retails BS gives us a very simple framework to understand the basics of option pricing.

How do you model skew may I ask?

 

[Windlesham1]

Unless you are trading in millions vomma is irrelevant as are all the second order derivatives- and Vega is as reliable as a vintage British motorcycle -it's the Greek most likely to surprise in my real world experience