DgammaDspot en · NOUN
Etymology
From the mathematical formula (∂Γ)/(∂S), the partial derivative of gamma (Γ) with respect to spot price (S), pronounced as "D gamma (by) D spot (price)".
Meanings
- (uncountable) A third-order measure of derivative price sensitivity, expressed as the rate of change of gamma with respect to changes in the underlying asset price.
Hypernyms
Greeks (measure of derivative price sensitivity)