4
$\begingroup$

In studying options pricing a while back, I had learned of the higher order sensitivities of of Speed and Color.

Speed was the rate at which the gamma changes with the underlying.

Color is a measure of the rate at which gamma changes with time to maturity.

However, I rarely come across any discussion of these higher order greeks in any options strategies. Are there any well known options strategies that are used to capture these sensitivities? Or are these sensitivities difficult to capture because they are dominated by the other greeks?

$\endgroup$
  • 2
    $\begingroup$ you should do a search for vanna and volga $\endgroup$ – Giladbi Feb 27 '18 at 8:20
  • 1
    $\begingroup$ Exactly what problem are you trying to solve? What does "capture" mean? $\endgroup$ – mobutu Mar 20 at 13:25
  • $\begingroup$ @mobutu Trying to see if there are any products or strategies to take a view on these higher order sensitivities. For example, one can trade variance swaps to take a view on vega. Since I posted this question, I have learned of the existence of vanna swaps. $\endgroup$ – AlRacoon Mar 20 at 16:15
  • $\begingroup$ @AlRacoon What is a vanna swap? $\endgroup$ – ilovevolatility Mar 20 at 18:00

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.