| Delta is a measure of the rate of change in an option's theoretical value for a one-unit change in the price of the underlying. |
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| Gamma is a measure of the rate of change in an option's delta for a one-unit change in the price of the underlying. |
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| Theta is a measure of the rate of change in an option's theoretical value for a one-unit change in time to the option's expiration date. |
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| Vega is a measure of the rate of change in an option's theoretical value for a one-unit change in the volatility assumption. Also known as Kappa. |
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| Rho is a measure of the expected change in an option's theoretical value for a 1 percent change in interest rates. |
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| Volatility A measure of stock price fluctuation. Mathematically, volatility is the annualized standard deviation of a stock's daily price changes. |
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| Premium Total price of an option: intrinsic value plus time value. |
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| Theoretical value: The estimated value of an option derived from a mathematical model. |
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