Third Order Greeks

Subgroup of option Greeks.

Third order Greeks measure sensitivity of second order Greeks to small changes of factors like underlying price, time, volatility, or interest rate.

Mathematically they are third order derivatives of option price.

List of Third Order Greeks

Color = Also gamma decay or DgammaDtime. Sensitivity of gamma to passage of time (small changes in time to expiration).

Speed = Also DgammaDspot. Sensitivity of gamma to small changes in underlying price.

Ultima = Also DvommaDvol. Sensitivity of vomma to small changes in volatility.

Zomma = Also DgammaDvol. Sensitivity of gamma to small changes in volatility.

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