Delta changes as spot moves, implied volatility (IV) changes and time passes. Gamma, vanna and charm describe those three effects. Looking at them together explains why a short OTM put can gain less delta on a falling market than gamma alone suggests.
[Read More]Incomplete guide to Options Greeks
Finance
Greeks or Options Greeks are tools/statistics which measure sensitivity (responsiveness, calculus anyone?) of option price to changes in various parameters: underlying price, volatility, time, etc…
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