VannaVanna is the rate of change of an option’s Delta with respect to a 1% move up or down in its Implied Volatility level. Vanna is a second-order Greek. See also
Implied-VolatilityVegaA measure of the rate of change in an option's theoretical value for a one-unit change in the volatility assumption. See also
Kappa and
Delta.
VeraVera is the rate of change of an option’s Rho with respect to its Implied Volatility level. Vera is a second-order Greek. See also
Rho and
Implied-VolatilityVertical spreadMost commonly used to describe the purchase of one option and writing of another where both are of the same type and of same expiration month, but have different strike prices. Example: buying 1 XYZ May 60 call and writing 1 XYZ May 65 call. See also
Bull (or bullish) spread and
Bear (or bearish) spread.
VetaVeta, or Vega decay, is the rate of change of an option’s Vega with respect to the passage of time. Veta is a second-order Greek.
VolatilityA measure of stock price fluctuation. Mathematically, volatility is the annualized standard deviation of a stock's daily price changes. See also
Historic volatility,
Individual volatility and
Implied volatilityVonnaVomma – Vomma, otherwise known as Vega convexity, is the rate of change of an option’s Vega with respect to its Implied Volatility level. Vomma is a second-order Greek. See also
Implied-Volatility