A tool that measures the amount of change in the delta of a derivative (most often an option) in response to a unit change in...
A volatility trading strategy that combines an at-the-money forward call (ATMF call) with an ATMF put with opposite deltas, in…
The correlations which are observed between a convertible’s theoretical value and relevant influential factors such as the underlying stock price,…
A complex hedging technique which is designed to mitigate different risk exposures usually associated with options. Those exposures are often…
A sensitivity measure for options and other derivatives which calculates the change in gamma in response to the passage of…
The language of derivatives (such as delta, DV01, vega, gamma, notionals, vol-vol, fugit, etc) may be hard and confusing to…
A portfolio of options (generally derivatives) which has an overall gamma of zero. This portfolio can be constructed by entering...
The change in the delta of a convertible with a given downward move in the underlying share. It is typically...
Gamma is the second derivative of the option’s price (premium) with respect to the underlying price/ rate. It is usually...
The sensitivity of a convertible’s delta to changes in the underlying share price (mathematically, it is a second-order partial derivative...
