A risk measure for options which is computed by relating an option's theta to its gamma: Alpha = decay/gamma This second-order greek expresses the quality of gamma...
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...
The situation in which the strike of an option is set equal to the spot rate (e.g., FX rate) at which the option delta is hedged....
A financial product (derivative) that tracks the performance of an underlying asset on a one-to-one basis. In other words, if...
A tool that measures the amount of change in the delta of a derivative (most often an option) in response to a unit change in...
A second-order greek that measures the instantaneous rate of change of an option’s delta with respect to the passage of time. In other words,...
A change in the sensitivity of an option (or generally a derivative) with the passage of time, holding everything else constant (e.g., volatility)....
A change in the gamma of an option (or generally a derivative) with the passage of time, holding everything else constant (e.g.,...
A change in the sensitivity of an option (or generally a derivative) with the passage of time, holding everything else constant (e.g., volatility)....
The delta value of a derivative or a position multiplied by the notional principal. It is the delta hedge of a derivative position expressed in dollars. This...