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...
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...
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...
A 1st order Greek is a first-order derivative of the option value with respect to some variable such as underlying’s price, volatility,...
A first-order Greek is a first-order derivative of the option value with respect to some variable such as underlying’s price, volatility, interest rate,...
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 change in the sensitivity of an option (or generally a derivative) with the passage of time, holding everything else constant (e.g., volatility)....
A position in options (vega) in which any decrease in the implied volatility of the underlying asset will generate a profit, even...
A second-order greek that measures the instantaneous rate of change of an option’s delta with respect to the passage of...
