DvegaDtime

AAA

DEFINITION of 'DvegaDtime'

The rate at which the vega of an option or warrant will change over time. DvegaDtime is the second order derivative of the value of the option - once to volatility (vega) and once to time.


DvegaDtime is part of the group of measures known as the "Greeks" (other measures include delta, gamma and vega) which are used in options pricing models such as the Black-Scholes.

INVESTOPEDIA EXPLAINS 'DvegaDtime'

When looking to express DvegaDtime for a single day, investors should divide by 36,500 (or 25,200 if calculating for trading days). This is different than charm or color, which are divided by 365 to obtain the daily value.


Unlike many of the other "Greeks", DvegaDtime does not have a Greek letter associated with it.

RELATED TERMS
  1. Black Scholes Model

    A model of price variation over time of financial instruments ...
  2. Greeks

    Dimensions of risk involved in taking a position in an option ...
  3. Vega

    The measurement of an option's sensitivity to changes in the ...
  4. Volatility

    1. A statistical measure of the dispersion of returns for a given ...
  5. Quantitative Analysis

    A business or financial analysis technique that seeks to understand ...
  6. Time Decay

    The ratio of the change in an option's price to the decrease ...
Related Articles
  1. The Basics Of Option Price
    Options & Futures

    The Basics Of Option Price

  2. Getting To Know The
    Options & Futures

    Getting To Know The "Greeks"

  3. Capturing Profits With Position-Delta ...
    Options & Futures

    Capturing Profits With Position-Delta ...

  4. Using
    Options & Futures

    Using "The Greeks" To Understand Options

Hot Definitions
  1. Conduit Issuer

    An organization, usually a government agency, that issues municipal securities to raise capital for revenue-generating projects ...
  2. Financing Entity

    The party in a financing arrangement that provides money, property, or another asset to an intermediate entity or financed ...
  3. Hyperinflation

    Extremely rapid or out of control inflation. There is no precise numerical definition to hyperinflation. Hyperinflation is ...
  4. Gross Rate Of Return

    The total rate of return on an investment before the deduction of any fees or expenses. The gross rate of return is quoted ...
  5. Debit Spread

    Two options with different market prices that an investor trades on the same underlying security. The higher priced option ...
  6. Leading Indicator

    A measurable economic factor that changes before the economy starts to follow a particular pattern or trend. Leading indicators ...
Trading Center