A volatility trading strategy that combines an at-the-money forward call (ATMF call) with an ATMF put with opposite deltas, in...

An abbreviation for keep it simple, stupid!. The language of derivatives (such as delta, DV01, vega, gamma, notionals, vol-vol, fugit,...

A third-order greek that captures the rate of change of gamma with respect to changes in the volatility (implied volatility)...

A topography report that shows the stability of a position with the passage of time, in an environment characterized by...

A topography report that shows the stability of a position with the passage of time, in an environment characterized by...

A risk measure for options which is computed by relating an option's modified theta to its gamma: Modified alpha =...

An option pricing model that is designed to measure the change in the price of an option as a result...

A type of gamma that measures the rate of change of sensitivity to price with respect to the change in...

A second-order Greek is a second-order derivative of the option value with respect to some variable. Equivalently, it is the...

A second-order Greek is a second-order derivative of the option value with respect to some variable. Equivalently, it is the...