The degree to which the price of the underlying of an option fluctuates. For an out-of-the-money option, it represents the...
An abbreviation for volatility of volatility, which is a statistical concept implying that volatility of of a series of random...
A ratio that relates the implied volatility of a security to its recent historical volatility: Volatility ratio = implied volatility...
A conditional variance swap (also a corridor variance swap) in which realized volatility accrues when the underlying remains above a...
The volatility of volatility. A measure of volatility which supposes that volatility is a random market risk variable, rather than...
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,...
A variation on variance swaps which weights the periodic squared return of the underlying by the ratio of current price...
As a volatility derivative, it is an agreement (swap) that entails exchanging the realized volatility between the time of entering...
The sensitivity of vega as a function of volatility to a change in volatility. It captures the deviation from a...