A measure of the change in an option's value with respect to the percentage change in the underlying price. The omega gives option investors an idea of how the option price and the stock price that underlies it move together.

Omega is the third derivative of the option price, and the derivative of gamma.


If the omega on a Ford call option is calculated to be 1.6%, then for every 1% change in the price of Ford the price of the call option will rise by 1.6%.

Also known as "speed".

  1. Theta

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  2. Derivative

    A security with a price that is dependent upon or derived from ...
  3. Lambda

    The ratio of the percentage change in an option contract's price ...
  4. Vega

    The measurement of an option's sensitivity to changes in the ...
  5. Gamma

    The rate of change for delta with respect to the underlying asset's ...
  6. Greeks

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