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noun
A third-order measure of derivative price sensitivity, expressed as the rate of change of vanna with respect to changes in the spot price, or equivalently the rate of change of gamma with respect to changes in the volatility of the underlying asset.
Definition source: English Wiktionary via Wiktextract
Usage: uncountable
Topics: business, finance
No example sentence was provided for this meaning.
Synonyms: none provided
Antonyms: none provided
History
From the mathematical formula (∂Γ)/(∂σ), the partial derivative of gamma (Γ) with respect to volatility (σ), pronounced as "D gamma (by) D vol(atility)".
