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.

BREAKING DOWN '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. Color

    The rate at which the gamma of an option or warrant will change ...
  2. Vega

    The measurement of an option's sensitivity to changes in the ...
  3. Vega Neutral

    A method of managing risk in options trading by establishing ...
  4. Vomma

    The rate at which the vega of an option will react to volatility ...
  5. Speed

    The rate at which the gamma of an option or warrant will change ...
  6. Gamma Neutral

    A method of managing risk in options trading by establishing ...
Related Articles
  1. Options & Futures

    Options Greeks: Vega Risk and Reward

    by John Summa (Contact Author | Biography)When an option is purchased or option strategy established, any price movement of the underlying depending on position Delta will have an impact (unless ...
  2. Options & Futures

    Options Greeks: Options and Risk Parameters

    by John Summa (Contact Author | Biography)This segment of the options Greeks tutorial will summarize the key Greeks and their roles in the determination of risk and reward in options trading. ...
  3. Investing Basics

    Understanding Vega

    In options trading, vega represents the amount option prices are expected to change in response to a change in the underlying asset’s implied volatility.
  4. Options & Futures

    Options Pricing: The Greeks

    Many option traders rely on the "Greeks" to evaluate option positions. The Greeks are a collection of statistical values that measure the risk involved in an options contract in relation to certain ...
  5. Options & Futures

    Option Volatility: Strategies and Volatility

    By John Summa, CTA, PhD, Founder of OptionsNerd.comWhen an option position is established, either net buying or selling, the volatility dimension often gets overlooked by inexperienced traders, ...
  6. Options & Futures

    Getting To Know The "Greeks"

    Understanding price influences on options positions requires learning about delta, theta, vega and gamma.
  7. Options & Futures

    The Forex Greeks And Strategies

    We look at the different kinds of Greeks and how they can improve your forex trading.
  8. Term

    Measuring Options With the Greeks

    Delta, gamma, theta and vega are “the Greeks,” and they provide a way to measure the sensitivity of an option’s price.
  9. Options & Futures

    Options Greeks: Position Greeks

    by John Summa (Contact Author | Biography)Position Greeks can be defined as either the sign or value of any Greek for an outright position, or the net Greeks position when all options legs in ...
  10. Options & Futures

    Option Spreads: Selling And Buying To Form A Spread

    By John Summa, CTA, PhD, Founder of OptionsNerd.comWhen you buy or sell a call or a put option, you are using only one option strike and, by definition, trading in a single contract month, with ...
RELATED FAQS
  1. What does negative vega mean for credit spreads?

    Learn about the option Greek vega, credit spreads and how vega affects the values of option credit spreads when volatility ... Read Answer >>
  2. Is there a better metric for hedging options than delta?

    Learn about delta and gamma hedging options, why gamma is a better metric to use to hedge and how gamma can be used with ... Read Answer >>
  3. What is the average return on equity for a company in the electronics sector?

    Learn about the Black-Scholes option pricing model and the binomial options model, and understand the advantages of the binomial ... Read Answer >>
  4. How is implied volatility used in the Black-Scholes formula?

    Learn how implied volatility is used in the Black-Scholes option pricing model, and understand the meaning of the volatility ... Read Answer >>
  5. How is implied volatility for options impacted by a bearish market?

    Learn why implied volatility for option prices increases during bear markets, and learn about the different models for pricing ... Read Answer >>
  6. Why does delta only range from 1 to -1?

    Learn what the option Greek delta is, what affects the value of delta for an option and why the delta of an option can only ... Read Answer >>
Hot Definitions
  1. Law Of Demand

    A microeconomic law that states that, all other factors being equal, as the price of a good or service increases, consumer ...
  2. Cost Of Debt

    The effective rate that a company pays on its current debt. This can be measured in either before- or after-tax returns; ...
  3. Yield Curve

    A line that plots the interest rates, at a set point in time, of bonds having equal credit quality, but differing maturity ...
  4. Stop-Limit Order

    An order placed with a broker that combines the features of stop order with those of a limit order. A stop-limit order will ...
  5. Keynesian Economics

    An economic theory of total spending in the economy and its effects on output and inflation. Keynesian economics was developed ...
  6. Society for Worldwide Interbank Financial Telecommunications ...

    A member-owned cooperative that provides safe and secure financial transactions for its members. Established in 1973, the ...
Trading Center