Ultima

AAA

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.

INVESTOPEDIA EXPLAINS 'Ultima'

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.




RELATED TERMS
  1. Time Decay

    The ratio of the change in an option's price to the decrease ...
  2. Exotic Option

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

    The measurement of an option's sensitivity to changes in the ...
  6. Volatility

    1. A statistical measure of the dispersion of returns for a given ...
Related Articles
  1. The Basics Of Option Price
    Options & Futures

    The Basics Of Option Price

  2. Getting To Know The
    Options & Futures

    Getting To Know The "Greeks"

  3. Using
    Options & Futures

    Using "The Greeks" To Understand Options

  4. The Ins And Outs Of Selling Options
    Options & Futures

    The Ins And Outs Of Selling Options

comments powered by Disqus
Hot Definitions
  1. Accounts Payable - AP

    An accounting entry that represents an entity's obligation to pay off a short-term debt to its creditors. The accounts payable ...
  2. Ratio Analysis

    Quantitative analysis of information contained in a company’s financial statements. Ratio analysis is based on line items ...
  3. Days Payable Outstanding - DPO

    A company's average payable period. Calculated as: ending accounts payable / (cost of sales/number of days).
  4. Net Sales

    The amount of sales generated by a company after the deduction of returns, allowances for damaged or missing goods and any ...
  5. Over The Counter

    A security traded in some context other than on a formal exchange such as the NYSE, TSX, AMEX, etc. The phrase "over-the-counter" ...
  6. Earnings Before Interest After Taxes - EBIAT

    A financial measure that is an indicator of a company's operating performance. EBIAT, which is equivalent to after-tax EBIT ...
Trading Center