Vanna
How much delta changes when volatility changes. It links fear to flow: when implied volatility falls, it forces buying of the underlying.
In the chapter
What your position is sensitive to
From the same chapter
- DeltaHow much the premium moves per unit the underlying moves. It also reads as your position's equivalent exposure in shares.
- GammaHow much delta changes when price moves. It is the acceleration: high near the money and near expiry, which is why everything moves faster there.
- ThetaWhat the premium loses from one day simply passing. Negative for the buyer and positive for the seller: it is the rent on time.
- VegaHow much the premium changes if implied volatility rises one point. It is the greek that explains losses that do not match the price move.
- RhoSensitivity to interest rates. Irrelevant on short horizons and anything but on contracts beyond a year.
- CharmHow much delta changes from time alone. It is what forces dealers to re-hedge without price having moved.