DgammaDvol

English

Etymology

From the mathematical formula $\frac{\partial \mathrm{\Gamma }}{\partial \sigma }$, the partial derivative of gamma (Γ) with respect to volatility (σ), pronounced as "D gamma (by) D vol(atility)".

Noun

1. Template:Lb A third-order measure of derivative price sensitivity, expressed as the rate of change of vanna with respect to changes in the spot price, or equivalently the rate of change of gamma with respect to changes in the volatility of the underlying asset.

Synonyms

• Template:L

Hypernyms

• Template:Sense Template:L Template:Qualifier