The first-order sensitivity (delta) of the price of a multi-asset option to a move in the correlation(s) between two underlyings...
The change in the value of a tranche in reaction to a one basis point increase or decrease in the...
The sensitivity of an option's price (premium) to changes in the spot market. The spot delta tells how many units...
A classification of option greeks that relate to, or are based on, delta. Examples include delta (for calls and puts),...
A delta greek that measures the sensitivity of delta (of an option position) to changes in time. In other words,...
The ratio of the change in present value of an option with respect to the change in spot, where both...
The elasticity of an option where its value increases (for a call) or decreases (for a put) almost one-for-two with...
An abbreviation for at-the-money spot; the situation in which the strike of an option is set equal to the spot rate (e.g., FX...
A tool that measures the changes in delta resulting from changes in volatility levels. Delta, per se, captures the change...
A volatility trading strategy that combines an at-the-money forward call (ATMF call) with an ATMF put with opposite deltas, in...