Greeks

Greek info

  • Name Type Description
    Delta Number Delta - measures of risk from a move of the underlying price.
    Gamma Number Gamma - rate of change of Delta resulting from movement of the underlying.
    MidVol Number MidVol - volatility using the option mid price.
    Phi Number Phi - Option Sensitivity to Dividend.
    Rho Number Rho - risk measure related to changes in interest rates.
    Theta Number Theta - measure of the rate of time premium decay and it is always negative.
    Vega Number Vega - measures of risk from changes in implied volatility.