It generally denotes volatility expressed or represented as a percentage. For example, “one sigma level” refers to the real change in the price of an asset underlying a derivative contract.

A lower-case sigma denotes “standard deviation- in symbol: σ”: the volatility of an option expressed as the standard deviation of the annual percentage change calculated on a continuously compounded basis.

As part of the set of greeks (option greeks), sigma is another term for vega.