Question

match Delta       -       A.       B.       C.      ...

match

Delta
      -       A.       B.       C.       D.   

Gamma
      -       A.       B.       C.       D.   

Vega
      -       A.       B.       C.       D.   

Implied Volatility
A.

Sensitivity of an options price to a change in the price of the underlying.
B.

Sensitivity of an options price to a change in expected volatility for the underlying .
C.

Obtained from backing it out of the observed market price for options.
D.

The additional change in a convertible bonds value for a larger change in the price of the underlying stock (rate of change of the rate of change) .
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Answer #1

A. Delta- sensitivity of an option price to a change in price of the underlying is known as delta.

B.Vega- sensitivity of an option price change in expected volatility for the underlying is known as Vega.

C . Implied Volatility- implied volatility is obtained from backing it out of the observed market price for options.

D.Gamma- additional change in a convertible bond value for a larger change in the price of underlying stock. It is the degree of change in delta.

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