Test Your Knowledge of Higher Order Option Greeks with Our Quiz!
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Questions and Answers

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?

  • Vanna
  • Charm (correct)
  • Color
  • Veta

    • 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?

    <p>Vomma</p> Signup and view all the answers

    Which Greek measures the sensitivity of gamma to small changes in underlying price and is a third order Greek?

    <p>Zomma</p> Signup and view all the answers

    Which Greek measures the sensitivity of theta to small changes in underlying price?

    <p>Charm</p> Signup and view all the answers

    Which Greek measures the sensitivity of vega to small changes in underlying price and is a second order Greek?

    <p>Vanna</p> Signup and view all the answers

    Which Greek measures the sensitivity of vega to small changes in volatility and is a second order Greek?

    <p>Vomma</p> Signup and view all the answers

    Which Greek measures the sensitivity of vomma to small changes in volatility and is a third order Greek?

    <p>Ultima</p> Signup and view all the answers

    Which Greek measures the sensitivity of gamma to passage of time and is a third order Greek?

    <p>Color</p> Signup and view all the answers

    Which Greek measures the sensitivity of option price to small changes in volatility and interest rates and is a second order Greek?

    <p>Vera</p> Signup and view all the answers

    Which Greek measures the sensitivity of vega to passage of time and is a second order Greek?

    <p>Veta</p> Signup and view all the answers

    What is a higher order Greek?

    <p>An option Greek other than first order Greeks</p> Signup and view all the answers

    What do higher order Greeks measure?

    <p>Sensitivity of first order Greeks to underlying price, volatility, time, or interest rate</p> Signup and view all the answers

    What is the best-known higher order Greek?

    <p>Gamma</p> Signup and view all the answers

    What is gamma?

    <p>Measure of sensitivity of option delta to small changes in underlying price</p> Signup and view all the answers

    What is charm?

    <p>Measure of sensitivity of option price to underlying price and passage of time</p> Signup and view all the answers

    What is vanna?

    <p>Measure of sensitivity of option price to underlying price and volatility</p> Signup and view all the answers

    What is ultima?

    <p>Measure of sensitivity of vomma to small changes in volatility</p> Signup and view all the answers

    What is color?

    <p>Measure of sensitivity of gamma to passage of time</p> Signup and view all the answers

    What is veta?

    <p>Measure of sensitivity of vomma to small changes in volatility</p> Signup and view all the answers

    What is vomma?

    <p>Measure of sensitivity of vega to small changes in volatility</p> Signup and view all the answers

    What is zomma?

    <p>Measure of sensitivity of gamma to small changes in volatility</p> Signup and view all the answers

    What is vera?

    <p>Measure of sensitivity of option price to volatility and interest rates</p> Signup and view all the answers

    Which Greek measures the sensitivity of delta to small changes in underlying price?

    <p>Gamma</p> Signup and view all the answers

    Which Greek measures the sensitivity of vega to small changes in underlying price and volatility?

    <p>Vanna</p> Signup and view all the answers

    Which Greek measures the sensitivity of gamma to small changes in underlying price and passage of time?

    <p>Charm</p> Signup and view all the answers

    Which Greek measures the sensitivity of gamma to small changes in underlying price?

    <p>Vanna</p> Signup and view all the answers

    Which Greek measures the sensitivity of vomma to small changes in volatility?

    <p>Vomma</p> Signup and view all the answers

    Which Greek measures the sensitivity of gamma to small changes in volatility?

    <p>Zomma</p> Signup and view all the answers

    Which Greek measures the sensitivity of option price to small changes in volatility and interest rates?

    <p>Vera</p> Signup and view all the answers

    Which Greek measures the sensitivity of vomma to small changes in volatility and passage of time?

    <p>Ultima</p> Signup and view all the answers

    Which Greek is also known as delta decay or DdeltaDtime?

    <p>Charm</p> Signup and view all the answers

    Which Greek is also known as gamma decay or DgammaDtime?

    <p>Charm</p> Signup and view all the answers

    Which Greek measures the sensitivity of theta to small changes in underlying price?

    <p>Charm</p> Signup and view all the answers

    Which Greek measures the sensitivity of option price to small changes in volatility and passage of time?

    <p>Veta</p> Signup and view all the answers

    What is a higher order Greek?

    <p>A derivative of option price with respect to underlying price</p> Signup and view all the answers

    What is gamma?

    <p>A measurement of option delta sensitivity to small changes in underlying price</p> Signup and view all the answers

    What is Charm?

    <p>A second order Greek</p> Signup and view all the answers

    What is Color?

    <p>A third order Greek</p> Signup and view all the answers

    What is Speed?

    <p>A third order Greek</p> Signup and view all the answers

    What is Ultima?

    <p>A third order Greek</p> Signup and view all the answers

    What is Vanna?

    <p>A second order Greek</p> Signup and view all the answers

    What is Vera?

    <p>A second order Greek</p> Signup and view all the answers

    What is Veta?

    <p>A second order Greek</p> Signup and view all the answers

    What is Vomma?

    <p>A second order Greek</p> Signup and view all the answers

    What is Zomma?

    <p>A third order Greek</p> Signup and view all the answers

    What is the best known higher order Greek?

    <p>Gamma</p> Signup and view all the answers

    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!

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