Search
Papers, wiki, Option Blackboard, encyclopedia, and cards.
Delta
Delta is the first derivative of option value to the underlying — the hedge ratio and a moneyness label.
Delta Hedging
Delta Hedging — Continuous rebalancing of directional exposure that links options markets to underlying liquidity.
Gamma
Gamma is the sensitivity of delta to the underlying — how fast the hedge ratio moves, and who is chasing whom.
Option Greeks
Greeks are the sensitivities of option value to spot, vol, time, and rates — the risk report of a non-linear book.
Theta
Theta is the sensitivity of option value to the passing of time — the daily rent of holding convexity.
Vega
Vega is the sensitivity of option value to implied volatility — the vol-dollar you are long or short.
Vega Exposure
Vega Exposure — Sensitivity to implied volatility changes — core risk for vol books and structured products.