Kappa is a measurement of an option contract's price sensitivity to changes in the volatility of the underlying asset. Also known as vega, kappa is one of the four primary Greek risk measures used in options trading. It calculates the amount that an option contract's price changes in reaction to a 1% change in the implied volatility of the underlying asset. The set of risk measures—kappa, theta, gamma, delta—indicates how sensitive an option is to time-value decay, changes in implied volatility, and movements in the price of its underlying security.
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