Mixed Greeks

A set of Greeks that are calculated based on more than a factor, deriving it once for a factor and again for another. Examples of mixed Greeks include: charm and DdeltaDvol. Charm is the second-order derivative of the option value, once to the underlying price and once to the time decay, whereas, DdeltaDvol 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.