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Derivatives




Skew Greek


A second-order cross greek that measures the absolute monetary change in delta for a 1 point change in volatility. It reflects the sensitivity of vega (or kappa) to a change in the underlying price. Alternatively it is expressed as the first derivative of vega with respect to a change in the underlying or the first derivative of delta with respect to a change in volatility or also the second derivative of option value with respect to a joint movement in the underlying and volatility.

It is also known as vanna.



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Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
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