{"id":117460,"date":"2012-05-15T12:52:13","date_gmt":"2012-05-15T07:22:13","guid":{"rendered":"http:\/\/stockviz.biz\/index.php\/?page_id=117460"},"modified":"2012-09-08T07:18:07","modified_gmt":"2012-09-08T01:48:07","slug":"option-greeks","status":"publish","type":"page","link":"https:\/\/stockviz.biz\/index.php\/option-greeks\/","title":{"rendered":"Option Greeks"},"content":{"rendered":"<p><strong>Delta<\/strong> measures the rate of change of option value with respect to changes in the underlying asset&#8217;s price. Delta is the first derivative of the value of the option with respect to the underlying instrument&#8217;s price.<\/p>\n<p><strong>Vega<\/strong> measures sensitivity to volatility. Vega is the derivative of the option value with respect to the volatility of the underlying asset.<\/p>\n<p><strong>Theta<\/strong> measures the sensitivity of the value of the derivative to the passage of time (time decay). The model output is divided by 365 to show the <em>daily<\/em> decay .<\/p>\n<p><strong>Rho<\/strong> measures sensitivity to the interest rate: it is the derivative of the option value with respect to the risk free interest rate. <\/p>\n<p><strong>Lambda<\/strong> is the percentage change in option value per percentage change in the underlying price, a measure of leverage.<\/p>\n<p><strong>Gamma<\/strong> measures the rate of change in the delta with respect to changes in the underlying price.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Delta measures the rate of change of option value with respect to changes in the underlying asset&#8217;s price. Delta is the first derivative of the value of the option with respect to the underlying instrument&#8217;s price. Vega measures sensitivity to volatility. Vega is the derivative of the option value with respect to the volatility of &hellip; <\/p>\n","protected":false},"author":1,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"sidebar-page.php","meta":{"footnotes":""},"class_list":["post-117460","page","type-page","status-publish","hentry","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/pages\/117460","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=117460"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/pages\/117460\/revisions"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=117460"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}