Omega
A measure of the change in an option's value with respect to the percentage change in the underlying price. The omega gives option investors an idea of how the option price and the stock price that underlies it move together.
Omega is the third derivative of the option price, and the derivative of gamma. Investopedia Says:
If the omega on a Ford call option is calculated to be 1.6%, then for every 1% change in the price of Ford the price of the call option will rise by 1.6%.
Also known as "speed". Related Terms:
Call Option
Delta
Derivative
Gamma
Greeks
Lambda
Option
Theta
Underlying
Vega |