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. Volatility

    1. A statistical measure of the dispersion of returns for a given ...
  2. Black Scholes Model

    A model of price variation over time of financial instruments ...
  3. Vega

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

    Dimensions of risk involved in taking a position in an option ...
  5. Time Decay

    The ratio of the change in an option's price to the decrease ...
  6. Quantitative Analysis

    A business or financial analysis technique that seeks to understand ...
Related Articles
  1. Options & Futures

    The Basics Of Option Price

    Options can be an excellent addition to a portfolio. Find out how to get started.
  2. Options & Futures

    Getting To Know The "Greeks"

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

    Capturing Profits With Position-Delta Neutral Trading

    This trading strategy will show you how to gain from a decline in implied volatility on any movement of the underlying.
  4. Options & Futures

    Using "The Greeks" To Understand Options

    These risk-exposure measurements help traders detect how sensitive a specific trade is to price, volatility and time decay.
  5. Options & Futures

    The Ins And Outs Of Selling Options

    Selling options can seem intimidating but with these tips, you can enter the market with confidence.
  6. Options & Futures

    Synthetic Options Provide Real Advantages

    Participate in options trading trading that is simpler, less expensive and easier to manage.
  7. Trading Strategies

    Top Day Trading Instruments

    Day trading is an intense and often appealing activity. Investopedia provides the list of top financial instruments for day trading.
  8. Options & Futures

    The Perks of Trading Coffee Options

    As more people begin to trade coffee, we explain how coffee options work, who uses them, what drives valuations, and the risks and rewards.
  9. Options & Futures

    Give Yourself More Options With Real Estate Options

    Real estate options have many benefits, including a smaller initial capital requirement.
  10. Options & Futures

    The Fancy Way To Diversify Your Portfolio: Precious Metal Options

    A guide with strategies on how to invest or trade in precious metals by using options.

You May Also Like

Hot Definitions
  1. Efficiency Ratio

    Ratios that are typically used to analyze how well a company uses its assets and liabilities internally. Efficiency Ratios ...
  2. Fixed Cost

    A cost that does not change with an increase or decrease in the amount of goods or services produced. Fixed costs are expenses ...
  3. Subsidy

    A benefit given by the government to groups or individuals usually in the form of a cash payment or tax reduction. The subsidy ...
  4. Sunk Cost

    A cost that has already been incurred and thus cannot be recovered. A sunk cost differs from other, future costs that a business ...
  5. Technical Skills

    1. The knowledge and abilities needed to accomplish mathematical, engineering, scientific or computer-related duties, as ...
  6. Prepaid Expense

    A type of asset that arises on a balance sheet as a result of business making payments for goods and services to be received ...
Trading Center