It has different implications in different contexts. In general, delta defines the number of units of an asset that should...

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

A position in options (a situation/ relationship expressed originally as vega) in which any increase in the implied volatility of...

A tool which is used to compare the change in option price to a 1% change in option volatility. Mathematically,...

A measure (first-order greek) of the rate of change in the value of an option with respect to the passage...

The risk (danger of financial loss) that arises from the possibility that the market may move or shift in an...

A second-order greek that measures the instantaneous rate of change of an option’s delta with respect to the passage of...

Tools that measure how an option's price and risk are affected by the underlying parameter on which the value of...

A portfolio of options which has a vega of zero. That is, the option combination implies a neutralized vega. This...

The amount of change in the price of an option in response to a 1% change in volatility of the...