Speed (Third-Order Greek)
Rate of gamma change vs. price
What is Speed (Third-Order Greek)?
Speed (Third-Order Greek) The rate of change of gamma with respect to the underlying price, also known as the third derivative of the option price with respect to the underlying. Speed indicates how quickly gamma changes as the stock moves. It is most significant for large positions where gamma changes materially with price moves.
Complete Definition
The rate of change of gamma with respect to the underlying price, also known as the third derivative of the option price with respect to the underlying. Speed indicates how quickly gamma changes as the stock moves. It is most significant for large positions where gamma changes materially with price moves.
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