Kappa

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Cross Sensitivity Measures

A set of greeks that measure the sensitivity of an option's value (also a warrant's value) to one of the...

Delta-Gamma-Kappa-Rho Hedge

A complex hedging technique which is designed to mitigate different risk exposures usually associated with options. Those exposures are often…

The absolute change in option price in response to a percentage point change in volatility. Kappa is used by traders...

Tau

The absolute change in option price in response to a percentage point change in volatility. Tau is used by traders...

Lambda

A tool which is used to compare the change in option price to a 1% change in option volatility. Mathematically,...

Cross Greeks

A set of greeks that measure the sensitivity of an option's value (also a warrant's value) to one of the...

Vanna

The sensitivity of vega (kappa) to a change in the underlying price of an option contract. That is, it is...