Podcast
Questions and Answers
Which Greek measures the sensitivity of delta to small changes in underlying price?
Which Greek measures the sensitivity of delta to small changes in underlying price?
- Vanna
- Charm
- Gamma (correct)
- Vomma
Which Greek measures the sensitivity of option price to small changes in underlying price and passage of time?
Which Greek measures the sensitivity of option price to small changes in underlying price and passage of time?
- Vanna
- Charm (correct)
- Color
- Veta
Which Greek measures the sensitivity of gamma to small changes in underlying price and volatility?
Which Greek measures the sensitivity of gamma to small changes in underlying price and volatility?
- Vomma
- Vanna (correct)
- Vera
- Zomma
Which Greek measures the sensitivity of gamma to small changes in volatility?
Which Greek measures the sensitivity of gamma to small changes in volatility?
Which Greek measures the sensitivity of gamma to small changes in underlying price and is a third order Greek?
Which Greek measures the sensitivity of gamma to small changes in underlying price and is a third order Greek?
Which Greek measures the sensitivity of theta to small changes in underlying price?
Which Greek measures the sensitivity of theta to small changes in underlying price?
Which Greek measures the sensitivity of vega to small changes in underlying price and is a second order Greek?
Which Greek measures the sensitivity of vega to small changes in underlying price and is a second order Greek?
Which Greek measures the sensitivity of vega to small changes in volatility and is a second order Greek?
Which Greek measures the sensitivity of vega to small changes in volatility and is a second order Greek?
Which Greek measures the sensitivity of vomma to small changes in volatility and is a third order Greek?
Which Greek measures the sensitivity of vomma to small changes in volatility and is a third order Greek?
Which Greek measures the sensitivity of gamma to passage of time and is a third order Greek?
Which Greek measures the sensitivity of gamma to passage of time and is a third order Greek?
Which Greek measures the sensitivity of option price to small changes in volatility and interest rates and is a second order Greek?
Which Greek measures the sensitivity of option price to small changes in volatility and interest rates and is a second order Greek?
Which Greek measures the sensitivity of vega to passage of time and is a second order Greek?
Which Greek measures the sensitivity of vega to passage of time and is a second order Greek?
What is a higher order Greek?
What is a higher order Greek?
What do higher order Greeks measure?
What do higher order Greeks measure?
What is the best-known higher order Greek?
What is the best-known higher order Greek?
What is gamma?
What is gamma?
What is charm?
What is charm?
What is vanna?
What is vanna?
What is ultima?
What is ultima?
What is color?
What is color?
What is veta?
What is veta?
What is vomma?
What is vomma?
What is zomma?
What is zomma?
What is vera?
What is vera?
Which Greek measures the sensitivity of delta to small changes in underlying price?
Which Greek measures the sensitivity of delta to small changes in underlying price?
Which Greek measures the sensitivity of vega to small changes in underlying price and volatility?
Which Greek measures the sensitivity of vega to small changes in underlying price and volatility?
Which Greek measures the sensitivity of gamma to small changes in underlying price and passage of time?
Which Greek measures the sensitivity of gamma to small changes in underlying price and passage of time?
Which Greek measures the sensitivity of gamma to small changes in underlying price?
Which Greek measures the sensitivity of gamma to small changes in underlying price?
Which Greek measures the sensitivity of vomma to small changes in volatility?
Which Greek measures the sensitivity of vomma to small changes in volatility?
Which Greek measures the sensitivity of gamma to small changes in volatility?
Which Greek measures the sensitivity of gamma to small changes in volatility?
Which Greek measures the sensitivity of option price to small changes in volatility and interest rates?
Which Greek measures the sensitivity of option price to small changes in volatility and interest rates?
Which Greek measures the sensitivity of vomma to small changes in volatility and passage of time?
Which Greek measures the sensitivity of vomma to small changes in volatility and passage of time?
Which Greek is also known as delta decay or DdeltaDtime?
Which Greek is also known as delta decay or DdeltaDtime?
Which Greek is also known as gamma decay or DgammaDtime?
Which Greek is also known as gamma decay or DgammaDtime?
Which Greek measures the sensitivity of theta to small changes in underlying price?
Which Greek measures the sensitivity of theta to small changes in underlying price?
Which Greek measures the sensitivity of option price to small changes in volatility and passage of time?
Which Greek measures the sensitivity of option price to small changes in volatility and passage of time?
What is a higher order Greek?
What is a higher order Greek?
What is gamma?
What is gamma?
What is Charm?
What is Charm?
What is Color?
What is Color?
What is Speed?
What is Speed?
What is Ultima?
What is Ultima?
What is Vanna?
What is Vanna?
What is Vera?
What is Vera?
What is Veta?
What is Veta?
What is Vomma?
What is Vomma?
What is Zomma?
What is Zomma?
What is the best known higher order Greek?
What is the best known higher order Greek?
Study Notes
Greek Sensitivities
- Delta: Measures sensitivity to small changes in underlying price.
- Gamma: Measures sensitivity of delta to small changes in underlying price.
- Theta: Measures sensitivity of option price to passage of time.
- Vega: Measures sensitivity of option price to small changes in volatility.
- Charm: Measures sensitivity of delta decay over time.
- Vanna: Measures sensitivity of vega to small changes in underlying price and volatility.
- Color: Measures sensitivity of gamma to small changes in underlying price.
- Vomma: Measures sensitivity of vega to small changes in volatility and is a third order Greek.
- Speed: Measures sensitivity of gamma to small changes in underlying price.
- Zomma: Measures sensitivity of gamma to small changes in volatility.
- Vera: Measures sensitivity of option price to small changes in volatility and interest rates.
- Ultima: Measures sensitivity of vomma to passage of time.
Higher Order Greeks
- Higher order Greeks quantify additional sensitivities beyond basic Greeks (delta, gamma, theta, vega).
- These Greeks help in understanding how changes in underlying factors further affect options pricing and risks.
- Best-known higher order Greek: Typically recognized as gamma.
Key Definitions
- Gamma: Second derivative of the option price with respect to the underlying asset price; measures the rate of change of delta.
- Charm: Also known as "delta decay," focuses on how delta is affected as time passes.
- Vanna: Reflects the relationship between vega (volatility sensitivity) and changes in the underlying price.
- Vomma: Expresses vega's sensitivity to volatility and is classified as a third order Greek.
- Zomma: Relates to gamma sensitivity with respect to volatility changes.
- Veta: Measures the impact of time decay on vega.
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Description
Think you know your option Greeks? Test your knowledge with our quiz on higher order Greeks! From gamma to vanna, discover the various measures of sensitivity for option prices and learn more about how they relate to underlying factors like price, volatility, time, and interest rate. Brush up on your math skills and see how well you understand these higher derivatives of option Greeks. Take the quiz now!
