DEFINITION of 'Lambda'
The ratio of the percentage change in an option contract's price to the percentage change in the option's underlying price. Lambda is one of the Greeks – a collection of risk measures or risk sensitivities that are frequently used in options and derivatives analysis. Each Greek measures the sensitivity of a value in relation to a small change in an underlying parameter. Lambda measures the change in option premiums for a percentage point change in its implied volatility. When the lambda value is high, the price of an option will be more sensitive to small changes in volatility. Conversely, when lambda is low, changes in volatility will have less impact on the option's value.
INVESTOPEDIA EXPLAINS 'Lambda'
Lambda is one of many Greeks used in determining and managing risk in options and derivatives trading and investing. The most common Greeks used are: Delta, which measures the rate of change of option value in response to changes in the price of the underlying instrument; Vega, which measures sensitivity to volatility; Theta, which measures the sensitivity of the value against the passage of time; Rho, which measures sensitivity to the interest rate and Gamma, which measures the rate of change in the Delta with respect to changes in the price of the underlying instrument.

Option
A financial derivative that represents a contract sold by one ... 
Delta
The ratio comparing the change in the price of the underlying ... 
Derivative
A security whose price is dependent upon or derived from one ... 
Gamma
The rate of change for delta with respect to the underlying asset's ... 
Implied Volatility  IV
The estimated volatility of a security's price. In general, implied ... 
Greeks
Dimensions of risk involved in taking a position in an option ...

Options & Futures
Implied Volatility: Buy Low And Sell ...

Options & Futures
Getting To Know The "Greeks"

Options & Futures
Using "The Greeks" To Understand Options

Options & Futures
Understanding Option Pricing