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Derivatives

  Derivatives   |   Terms
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  • September 25, 2021
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Vera

A second-order Greek that that relates the rate of change in a derivative’s rho to changes in volatility. In other words, it is a second-order measure of derivative price sensitivity (e.g., the price of an exchange-traded option), expressed as the rate of change of rho with respect to changes in a volatility measure.

Rho, by definition, is the amount of change in the price of an option in response to a 1% change in volatility of the a risk-free rate (RFR).

Vera is also known as RHOVA.


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