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Dollar Vega

The vega value of a derivative instrument, a spread, or a position multiplied by the notional principal. It corresponds to...

DvegaDvol

A tool that measures the changes in vega resulting from changes in volatility (vol) levels. Vega, per se, captures the...

Zeta of an Option

A measure that captures the premium difference between the value of an option calculated using the smile volatility and its...

Zeta

A tool that measures the sensitivity of an option price to implied volatility. It is the change in an option's...

At-The-Money Volatility

A tool that measures the calculated or implied mid-rate volatility for an ATM option for a specific expiration date. In...

Volatility Skew

The empirical relation which exists between implied volatility and strike prices (it could be also observed between implied volatility and...

Volatility Smile

A u-shaped pattern, resembling a smile, which is formed by plotting options’ implied volatilities against exercise prices. In general, implied...

Fiva

A forward or futures contract whose underlying is implied volatility. The parties to the contract trade implied volatility: buyers are...

Forward Volatility Agreement

An agreement that a seller and a buyer enter into in order to exchange a straddle option at a specific...

Realized Volatility

An ex-post estimate of the price or return variation, regardless of direction, over a specific period of time. In other...