Blog Posts

Fugit is a concept in options trading and risk management, particularly for American and Bermudan options. It provides information on the timing of option exercise and helps in hedging strategies. It’s considered a less traditional Greek.   Key Takeaways – Fugit (Option Greek) Fugit estimates the expected time to exercise for American and Bermudan options, […]

The elasticity of demand refers to the degree of responsiveness of the demand for a product or service to changes in its price. A good is considered to be elastic if an increase in its price results in a significant decrease in the quantity demanded, and vice versa. It is also referred to as “price […]

Ultima is a third-order derivative of the option value with respect to volatility. In other words, it’s an advanced option Greek that measures the sensitivity of an option’s Vomma (second-order sensitivity) to changes in volatility. This makes it one of the more complex Greeks used in options trading and risk management.   Key Takeaways – […]

Color, also known as gamma decay or DgammaDtime, is a concept in options trading, market making, and risk management.  It’s a third-order Greek measure that helps traders understand how the rate of change of an option’s Gamma varies over time.   Key Takeaways – Color (Option Greek) Color predicts daily Gamma changes, helping traders anticipate […]

Zomma, also known as DGammaDVol, is a third-order Greek letter used in options trading and risk management.  It measures the rate of change in an option’s Gamma with respect to changes in implied volatility.  Zomma is part of the family of Greek letters that help traders, market makers, and risk managers understand and quantify the […]

Speed is one of the lesser-known option Greeks. Speed quantifies how quickly an option’s Gamma changes as the price of the underlying asset moves. It’s the second derivative of the option’s Delta with respect to the underlying asset’s price. It’s often referred to as the “Gamma of Gamma” or DgammaDspot (i.e., measured how Gamma changes […]

Veta, also known as Vega in options trading, is one of the essential “Greeks” used in options pricing and risk management. It measures the sensitivity of an option’s price to changes in the underlying asset’s volatility. Understanding Veta is important for market makers, options traders, and risk managers who specialize in volatility and/or Theta strategies, […]

Vomma, also known as Volga or Vega Convexity, is an advanced concept in options trading and risk management. It is one of the higher-order Greeks used to measure and manage the sensitivity of option positions. Vomma shows how the Vega of an option changes as the underlying asset’s volatility fluctuates. With positive Vomma, a position […]

Charm, also known as delta decay or delta bleed, is one of the second-order Greeks used in options trading. It measures the rate of change in an option’s delta with respect to time, assuming all other factors remain constant. Understanding charm can help traders better manage their options positions and anticipate how their delta exposure […]

Rho is one of the “Greeks” used in options trading and analysis. It measures the sensitivity of an option’s price to changes in the risk-free interest rate. While less commonly discussed than other Greeks like delta or theta, rho is important in understanding and managing options positions, especially for longer-term options or in environments with […]