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Derivatives

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  • August 4, 2021
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Speed

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:

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:

Diagonal Speed

Speed is also known as DgammDspot, the gamma of gamma.


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