Hi, I just finished modeling the SPY Volga surface into the close (see attached). Now imagine this: you sold the OTM strangles, you stress-tested a 5-point volatility move, looked at the potential drawdown, and you accepted it. Then the spike actually hit, and 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. That's Volga (also known as Vomma). Think about it: 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 rule: don't size off today's Vega. Ask: What is my Vega if IV jumps 20-30 points? If you haven't modeled that, you don't know your true position size!