The rate at which the gamma of an option or warrant will change in relation to underlying price in the underlying market. More specifically, it is the third order derivative of an options value to price. A high speed value indicates that gamma is more sensitive to moves in price of the underlying asset.


Speed is used by investors who utilize both delta-hedging and gamma-hedging option trading strategies, and provides the investor with information on the vega or delta of an option per year (the daily figure can be found by dividing the result by the number of days in the year). As the number of days left on the options contract get smaller and smaller, charm becomes more volatile and less accurate.

  1. Delta

    The ratio comparing the change in the price of the underlying ...
  2. Gamma

    The rate of change for delta with respect to the underlying asset's ...
  3. Time Decay

    The ratio of the change in an option's price to the decrease ...
  4. Greeks

    Dimensions of risk involved in taking a position in an option ...
  5. Quantitative Analysis

    A business or financial analysis technique that seeks to understand ...
  6. Put-Call Parity

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