Generally, it is the effective monetary advantage which would be obtained when an option is immediately exercised. In call options,...

In essence, rho is the partial derivative of the option value with respect to the interest rate. Carry rho is...

The portion of an option's value that is almost entirely attributed to the time left to maturity. It equals an...

A vanilla Greek is a first-order derivative of the option value with respect to some variable such as underlying’s price, volatility, interest...

The absolute change in option price in response to a percentage point change in volatility. Tau is used by traders...

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

An option value that includes, in addition to the intrinsic value, the fair value of the forward underlying the option...

Also known as extrinsic or instrumental value, it is the portion left of the option value (the price) when its...

It stands for fair value premium; according to the Black-Scholes model, it refers to the premium which makes both the...

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