DvegaDtime

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.


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