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 tool that measures the changes in vega with respect to the passage of time. It is the second-order measure...

It generally denotes volatility expressed or represented as a percentage. For example, "one sigma level" refers to the real change...

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

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

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

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 tool that measures the amount of change in the delta of a derivative (most often an option) in response to a unit change in...