Subgroup of option Greeks. They measure sensitivity of first order Greeks (delta, theta, vega, rho) to small changes of factors like underlying price, time, volatility, or interest rate.

Best known second order Greek is gamma, which measures the sensitivity of delta to changes in underlying price.

Other second order Greeks include vomma, vanna, charm, veta, and vera.

## List of Second Order Greeks

**Charm** = Also delta decay or DdeltaDtime. Sensitivity of option price to small changes in underlying price and passage of time, sensitivity of theta to small changes in underlying price, or sensitivity of delta to passage of time.

**Gamma** = Sensitivity of option delta to small changes in underlying price.

**Vanna** = Also DvegaDspot or DdeltaDvol. Sensitivity of option price to small changes in underlying price and volatility, sensitivity of vega to small changes in underlying price, or sensitivity of delta to small changes in volatility.

**Vera** = Also rhova. Sensitivity of option price to small changes in volatility and interest rates, sensitivity of rho to small changes in volatility, or sensitivity of vega to small changes in interest rates.

**Veta** = Also vega decay or DvegaDtime. Sensitivity of option price to small changes in volatility and passage of time, sensitivity of vega to passage of time, or sensitivity of theta to small changes in volatility.

**Vomma** = Also vega convexity, volga, or DvegaDvol. Sensitivity of vega to small changes in volatility.