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Kappa

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...

      Zeta of an Option

      A measure that captures the premium difference between the value of an option calculated using the smile volatility and its...

        Zeta

        A tool that measures the sensitivity of an option price to implied volatility. It is the change in an option's...