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