A third-order greek that measures the rate of change in the option gamma in response to a change in the underlying price. It is the third-order derivative of the option value with respect to the underlying spot price. DgammaDspot is also referred to as speed:
This greek is particularly important for investors hedging their portfolios in terms of delta (delta hedging) or gamma (gamma hedging). The most popular and useful version of speed is the so-called diagonal speed which measures the sensitivity of a diagonal gamma to the corresponding price change:
Speed is also known as the gamma of gamma.
Comments