DEFINITION of 'Ultima'

The rate at which the vomma of an option will react to volatility in the underlying market. It is the third order derivative of the option value with respect to volatility, or the derivative of vomma with respect to the derivative of volatility.
Ultima is part of the group of measures known as the "Greeks" (other measures include delta, gamma and vega) which are used in options pricing.


Ultima is useful to investors who are making options trades and take the vomma and vega into consideration, especially when implementing exotic options which may change format over the period of maturity. This metric is one of the inputs utilized in the Black-Scholes model.

  1. Volatility

    1. A statistical measure of the dispersion of returns for a given ...
  2. Vega

    The measurement of an option's sensitivity to changes in the ...
  3. Black Scholes Model

    A model of price variation over time of financial instruments ...
  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. Exotic Option

    An option that differs from common American or European options ...
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