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By roma, 17 August, 2020

Vanna or dVega/dSpot or dDelta/dVol is a derivative of option vega with respect  to the price of the underlying asset, which is equivalent to a derivative of the delta with respect to volatility. According to the laws of mathematics, it also indicates the sensitivity of the option delta to changes in implied volatility.

By roma, 17 August, 2020

Option’s speed measures the change in gamma with respect to the change in price of the underlying asset, all other things being equal. Mathematically, a dGamma/dSpot is the 1st derivative of the gamma of the price of the underlying asset or a 3rd order derivative of the price of an option with respect to the price of the underlying asset.

 

By roma, 16 August, 2020

The time structure graph depicts implied volatility of options with the same strikes but different expiry dates. As a rule, traders look at at-the-money options to plot the term structure.  At the same time, drawing the term structure from OTM options can also provide very useful information.

By roma, 17 August, 2020

If the current form of the time structure of volatility does not reflect a trader's point of view, then the trader can use this opportunity to trade options. The term structure is traded via two similar strategies described in the section on volatility skew trading:

By roma, 16 August, 2020

The option's Charm indicates how the option's delta will change as one trading day passes. Mathematically, the charm is a derivative of the delta with respect to time.

By roma, 17 August, 2020

Vomma (also known as weezu or Volga) - indicates the change in an option's vega when the implied volatility changes by 1%. Vomma is a 2nd order derivative. This means that Vomma indicates how another option's greek changes, not the value of the option itself.