Options greeks ranked from worst to best, by someone who doesn't really understand options. 10. Rho -- worst sensitivity, very boring, mostly ignored except by people trading very long maturities (who you should not trust anyway)
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4. Gamma -- very cool and important second-order sensitivity. Essential for PnL explain, also tells you how quickly your delta hedge will break down, watched by many as an indicator of whether dealers will suppress or exacerbate realized vol. Would calculate again.
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3. Charm -- sexy, mysterious older brother of color. Mostly quiet and brooding until shortly before expiry when he runs out of the bedroom wearing sequins and performs a raunchy dance number, very exciting to watch
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2. Volga -- Often maligned but very cool second-order sensitivity, major reason for vol surface smile. Responsible for many nice profits from buying wings. Also named after a Russian river???
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1. Vanna -- unquestionably best sensitivity. Responsible for vol surface skew and profits when buying downside strikes. Dual use as measuring sensitivity of both delta (to vol changes) and vega (to spot changes). Can contribute to market crashes in extreme moves, very thrilling!
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Thanks. Twitter will use this to make your timeline better. UndoUndo
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@CharmFinance couldn't agree more, we are as exciting as it gets...Thanks. Twitter will use this to make your timeline better. UndoUndo
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