A tool that measures the changes in delta resulting from changes in volatility levels. Delta, per se, captures the change in an option’s price (or generally a derivative‘s) for a small change in the underlying price or rate. An increase in the delta/ deltas of a position means that the position becomes increasingly longer vegas in an advancing market and shorter in a declining one. This position is said to have a positive Ddeltadvol. It means the position is net short options below the money and net long option above the money. A position with a negative Ddeltadvol implies the reverse.
This tool is also known as a stability ratio.
