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Alpha

A risk measure for options which is computed by relating an option's theta to its gamma: Alpha = decay/ gamma...

Volga

An option sensitivity measure (a second-order greek) that captures the second order sensitivity of an option to the volatility of...

Gamma Cash

A form of gamma that measures the effect of change in delta cash in relative terms. Instead of absolute movements...

Gamma of Gamma

A third-order greek that measures the rate of change in the option gamma in response to a change in the...

Gamma Swap

A variation on variance swaps which weights the periodic squared return of the underlying by the ratio of current price to initial...

Gamma Trap

A market phenomenon that comes into play when dealers in CMS spread range accrual structures (CRANS) go from exposure being relatively flat...

Gamma Rent

A risk measure for options which is computed by relating an option's theta to its gamma: Gamma rent = decay/gamma This second-order greek , which is also...

Greeks

A series of calculations which determine and reflect different profiles of risk exhibited by a stock or asset underlying a derivative in response to changes in...

Greek Alpha

A risk measure for options which is computed by relating an option's theta to its gamma: Alpha = decay/gamma This second-order greek expresses the quality of gamma...

Gamma

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...