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

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...

According to the Black-Scholes model, it refers to the premium which makes both the option seller and buyer break even....

A portfolio of options which has a vega of zero. That is, the option combination implies a neutralized vega. This...

The amount of change in the price of an option in response to a 1% change in volatility of the...

An option sensitivity measure (a second-order greek) that captures the second order sensitivity of an option to the volatility of...

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

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

It stands for intrinsic value; generally, it is the effective monetary advantage which would be obtained when an option is...