The sensitivity of an option's price (premium) to changes in the spot market. The spot delta tells how many units...

A delta greek that measures the sensitivity of delta (of an option position) to changes in time. In other words,...

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

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

A tool that measures the changes in delta resulting from changes in volatility levels. Delta, per se, captures the change...

A mathematical model which is designed and used to figure out the optimal (theoretical) value of an option based on...

A spread option position whereby the price of the option purchased (long option) is larger than the price of the...

A spread option position whereby the price of the option purchased (long option) exceeds the price of the option sold...

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

The sensitivity of an option price to the change in its underlying asset price. Differently stated, it is the change...