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Later in this series of posts, we will study option price sensitivities in more detail. These sensitivity measures have Greek names:
Delta is the sensitivity of the option price to a change in the price of the underlying. Gamma is a measure of how well the delta sensitivity measure will approximate the option price’s response to a change in the price of the underlying.
Rho is the sensitivity of the option price to the risk-free rate.
Theta is the rate at which the time value decays as the option approaches expiration.
Vega is the sensitivity of the option price to volatility.