The sensitivity of vega as a function of volatility to a change in volatility. It captures the deviation from a...

A swap that varies in notional principal, rate or spread periodically to mimic predictably variable cashflows. As such, all notional,...

An options strategy constructed by buying and selling the same numbers of the same options (whether puts or calls) but...

An agreement to exchange the realized variance rate between the time of entering into the agreement and expiration date, based...

A volatility measure that takes into account, in estimating volatility from historical data, only the days when an exchange is...

It stands for value-at-risk; the amount of loss that is expected, at some specific or pre-specified probability (confidence level), to...

The amount of loss that is expected, at some specific or pre-specified probability (confidence level), to be reached or exceeded...

The empirical relation which exists between implied volatility and strike prices (it could be also observed between implied volatility and...

A u-shaped pattern, resembling a smile, which is formed by plotting options’ implied volatilities against exercise prices. In general, implied...

Strategies which are designed to speculate or take a view on changes in market volatility rather than in market direction....