ddeltadvol

Questions

What does ddeltadvol mean?

A second-order measure of derivative price sensitivity, expressed as the rate of change of vega with respect to changes in the spot price, or equivalently the rate of change of delta with respect to changes in the volatility of the underlying asset.

Where does ddeltadvol come from?

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

How to pronounce ddeltadvol

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