A situation where the implied volatility (volatility skew) remains unchanged (i.e., it sticks) for any given delta or moneyness. Options...

A situation where the implied volatility (volatility skew) remains unchanged (i.e., it sticks) for any given moneyness. In other words,...

With respect to an option's strike (strike price), it refers to the situation where the implied volatility (volatility skew) remains...

An interest rate product which pays a coupon linked to the absolute volatility of an interest rate index over a...

A portfolio of options which has a vega of zero. That is, the option combination implies a neutralized vega. This...

The amount of change in the price of an option in response to a 1% change in volatility of the...

A measure of fluctuation in the price movement of an asset (usually, a tradable asset such as a stock) over...

An option sensitivity measure (a second-order greek) that captures the second order sensitivity of an option to the volatility of...

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

An option sensitivity measure (a second-order greek) that captures the second order sensitivity of an option to the volatility of...