From Theory To Practice - January 19, 2021 - Trading Charm and Vomma
Most of the Greeks that we use are first-order Greeks, such as delta, theta, or vega, but Greek analysis doesn’t have to stop there. There are also second-order (or even third-order) Greeks that can also be quite relevant to our strategy selection and strike placement.
For instance, Charm (Delta’s decay) and Vomma (volatility of volatility) are two higher-order Greeks that can have a significant effect on our positions. As a result, with our IWM Short Put today, we look to balance the impacts of these metrics.