A set of greeks that measure the sensitivity of an option's value (also a warrant's value) to one of the...
The correlations which are observed between a convertible’s theoretical value and relevant influential factors such as the underlying stock price,…
The convexity of vega is the second-order measure of derivative price sensitivity, capturing the rate of change of vega with...
A tool that measures the changes in vega with respect to the passage of time. It is the second-order measure...
The vega value of a derivative instrument, a spread, or a position multiplied by the notional principal. It corresponds to...
It generally denotes volatility expressed or represented as a percentage. For example, "one sigma level" refers to the real change...
The absolute change in option price in response to a percentage point change in volatility. Tau is used by traders...
The sensitivity of a convertible’s value to changes in the volatility of the underlying stock (mathematically, it is a first-order...
A position in options (a situation/ relationship expressed originally as vega) in which any increase in the implied volatility of...
A tool which is used to compare the change in option price to a 1% change in option volatility. Mathematically,...