DvegaDspot

Meaning

Noun

• A second-order measure of derivative price sensitivity, expressed as the rate of change of vega with respect to changes in the spot price, or equivalently the rate of change of delta with respect to changes in the volatility of the underlying asset.

Related

Similar words

• DdeltaDvol, vanna

Broader meaning words

• Greeks

Origin

• From the mathematical formula $\backslash frac\{\backslash partial\; \backslash mathcal\{V\}\}\{\backslash partial\; S\}$, the partial derivative of vega ($\backslash mathcal\{V\}$) with respect to spot price (S), pronounced as "D vega (by) D spot (price)".