dgammadvol

Questions

What does dgammadvol mean?

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.

Where does dgammadvol come from?

From the mathematical formula (∂Γ)/(∂σ), the partial derivative of gamma (Γ) with respect to volatility (σ), pronounced as "D gamma (by) D vol(atility)".

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