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Omega
What does it mean?
The percentage change of an option’s value with respect to the percentage change in the underlying price. It is the third derivative of the option price, and the derivative of gamma.
In Other Words...
Although this measure of option sensitivity is used less frequently than others, it can describe the currency risk of an option on an instrument denominated in a different currency.
Also known as “speed.”
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Related Terms
Delta | Derivative | Gamma | Greeks | Option
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