Author: Tyler Krett
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Long Straddle
The Setup Buy a call, strike price A Buy a put, strike price A Generally, the stock price will be at strike A A long straddle is the best of both worlds, since the call gives you the right to buy the stock at strike price A and the put gives you the right to […]
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Y-Z
Zomma Zomma is a third-order risk measure of the degree to which the gamma of an options contract is sensitive to changes in implied volatility. It is also referred to as ‘D-gamma/D-vol.’ Gamma itself is a second-order risk measure of an option’s sensitivity of its delta to changes in the underlying price.