/biz/ - Business & Finance

>>53668675
What's most important is DvegaDtime: DvegaDtime is the negative value of the partial derivative of vega in terms of time to maturity and it measures how fast vega is going to change with respect to the time decay. Picrel chart is a visual representation of its fluctuations with respect to the underlying asset S.

The graph clearly displays that the influence of time decay on volatility exposure measured by vega is mostly felt in the ATM area especially for options with short time to maturity. The fact that DvegaDtime is mathematically expressed as negative derivatives makes sense because time decay is clearly a price that every options holder has to pay. In order to make things easier have a look at the plots of vega and theta because you will immediately realize that both volatility and time decay have their highest and lowest values in the ATM area. It goes without saying that ATM options have the highest volatility potential and therefore vega will be effected the most by the passage of time when the strike of our hypothetical options and the underlying price gets very close.

The have a name for other second order Greek derivatives like vomma, vanna, volga, vera, charm, gamma, etc,

But they don't have one for DvegaDtime

Let's come up with one my white bhenchodes