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Gamma Trap

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

Gamma Rent

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...

Forward Call

An call option whose underlying is a forward contract. This option gives the holder the right to enter into a...

Forward Call Option

An call option whose underlying is a forward contract. This option gives the holder the right to enter into a...

Wrangle

A complex ratio spread in which the same type of position is taken in both a put ratio spread and a call ratio spread. To...

Long Jelly Roll

A jelly roll consists of a long time spread and a short time spread, one made up of puts, the other of calls, all having the same strike...

Atlantic Option

An option that can be exercised on discrete dates before expiration, such as the first of every month. This option is similar...

Greeks

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...

Greek Alpha

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...

Limit Option

Another name for barrier option. By definition, it is an exotic option whose payoff depends on whether the underlying asset...