The change in delta per one point move in the underlying, the second derivative with respect to the underlying. Calls and puts of the same strike share it. Largest at the money, where the outcome is closest to a coin flip.
Where it comes up
Part 1 of the course, Option basics and use cases: what an option is, how calls and puts pay off, and every Greek with the intuition before the maths. See the course →
The full picture
3 hours 24 minutes with the man who traded these
Sven Hubens, ten years an options market maker at Optiver and Maven, adjunct faculty at The Options Institute at Cboe.
- 3h 24m of video in 58 chapters
- All 128 slides from the course
- Subtitles in 16 languages
- A certificate a firm can verify
See the course
€59.95 incl. 21% VAT · six months of access
Education, not advice. Sophron® is not licensed by the AFM to give individual investment advice.