This paper describes the results of transmitted wavefront error (WFE) measurements on a volume phase holographic (VPH) grating operating at a temperature of 120 K. The VPH grating was mounted in a cryogenically compatible optical mount and tested in situ in a cryostat. The nominal root mean square (RMS) wavefront error at room temperature was 19 nm measured over a 50 mm diameter test aperture. The WFE remained at 18 nm RMS when the grating was cooled. This important result demonstrates that excellent WFE performance can be obtained with cooled VPH gratings, as required for use in future cryogenic infrared astronomical spectrometers planned for the European Extremely Large Telescope.