A second-order Greek is a second-order derivative of the option value with respect to some variable. Equivalently, it is the...
A second-order Greek is a second-order derivative of the option value with respect to some variable. Equivalently, it is the...
The sensitivity of vega (kappa) to a change in the underlying price of an option contract. That is, it is...
A form of gamma that measures the effect of change in delta cash in relative terms. Instead of absolute movements...
A form of delta that quantifies the price change effect in relative terms. Instead of absolute movements (which are typically...
A ratio spread which is constructed by involving deltas of options such that a neutral “overall” position is created. To...
A volatility whose magnitude is theoretically set the same across different delta values of an option. The standard Black-Scholes model...
A volatility whose magnitude is theoretically set the same across different delta values of an option. The standard Black-Scholes model...
A third-order greek that measures the rate of change in the option gamma in response to a change in the...
A series of calculations which determine and reflect different profiles of risk exhibited by a stock or asset underlying a derivative in response to changes in...