The story
rho + va(riance).
Etymology from Wiktionary, CC BY-SA 4.0.
Today it means: A second-order measure of derivative price sensitivity, expressed as the rate of change of vega with respect to changes in the risk-free interest rate, or equivalently the rate of change of rho with respect to changes in the volatility of the underlying asset. Full definition →
rho + va(riance).
Etymology from Wiktionary, CC BY-SA 4.0.