Business, Legal & Accounting Glossary
A set of factor sensitivities, which includes delta and gamma.
The Greeks are a set of factor sensitivities used extensively by traders to quantify the exposures of portfolios that contain options. Each measures how the portfolio’s market value should respond to a change in some variable – an underlier, implied volatility, interest rate or time.
There are five Greeks:
They are called the Greeks because four out of the five are named after letters of the Greek alphabet. Vega is the exception. For reasons unknown, it is named after the brightest star in the constellation Lyra. At times, vega has been called kappa, but the name vega is now well established.
The Greeks are defined as first – and in the case of gamma, second – partial derivatives.
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This glossary post was last updated: 17th April, 2020 | 0 Views.