The situation in which the strike of an option is set equal to the spot rate (e.g., FX rate) at which the option delta is hedged....
The payoff of a derivative contract that may move proportionally more or less than the price of its underlying. In general, derivatives subdivide into...
The payoff of a derivative contract that may move proportionally more or less than the price of its underlying. In general, derivatives subdivide into...
An option trading strategy where an investor buys a call and a put on the same underlying with the same expiration date but with...
A synthetic straddle that is constructed either with a long put and a long synthetic call (long put combined with long stock) or with a long call and a long...
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 second-order greek that measures the instantaneous rate of change of an option’s delta with respect to the passage of time. In other words,...
A change in the sensitivity of an option (or generally a derivative) with the passage of time, holding everything else constant (e.g., volatility)....
A change in the gamma of an option (or generally a derivative) with the passage of time, holding everything else constant (e.g.,...
A change in the sensitivity of an option (or generally a derivative) with the passage of time, holding everything else constant (e.g., volatility)....
