At the end of reading 73 there is a section where the 5 price sensitivity measures are casually thrown in. They are in bold but is this something that will actually be testable? Do i really need to know this? Gamma, Rho, theta, Vega… If not, 4 less things I would have to memorize!
V for Volatility = Vega T for Time = Theta R for Rates(Interest) = Rho CR for Credit Spreads = ominCRon C for Currency = Chi Dont know one for Upsilon = Recovery Rate
I don’t believe you need to know them for level 1. However, they are not hard to remember.
Rydex Wrote: ------------------------------------------------------- > V for Volatility = Vega > > T for Time = Theta > > R for Rates(Interest) = Rho > > CR for Credit Spreads = ominCRon > > C for Currency = Chi > > Dont know one for Upsilon = Recovery Rate D for unDerlier = Delta… No that sucks…
I don’t know if they are tested, and I haven’t gotten to that book yet, but they are important. I studied them in my college derivatives course and was tested over them. I would say that delta would be the most likely one that could be tested based on the importance placed on them in my derivatives book, followed by theta, rho, and vega, those of which are in no particular order of importance.
#2 in most situations is gamma (although theta is pretty important too, I guess).
consult the LOS
Not in the LOS- that’s why I asked the question. I don’t like the fact that they are in bold though.
I found an acronym in Stalla, pertaining to the concept of options’ sensitivity factors (a bit different than the list at the end of reading 73, but hope this recap helps): DIVUTS At: Dividends up: call down, put up Interest rate (rf)up: call up, put down Volatility up: call up, put up Underlying security price up: call up, put down Time to expiration up: call up, put up Strike price up: call down, put up
Rydex Wrote: ------------------------------------------------------- > V for Volatility = Vega > > T for Time = Theta > > R for Rates(Interest) = Rho > > CR for Credit Spreads = ominCRon > > C for Currency = Chi > > Dont know one for Upsilon = Recovery Rate cool
I also like to remember rho as r for risk-free = rho