calculating speed

Discussion in 'Options' started by stevenpaul, Oct 1, 2010.

  1. Hi option friends,

    For those interested in hedging some of the Greek risk variables, knowing the gamma of the gamma, aka speed or DgammaDspot, may seem worthwhile. Unfortunately, it's never really listed in any of the option analytics softwares or subscription sites (that I know of). Is there any way to circumvent the usual process of calculating it using the main option data (i.e. the strike, underlier price, risk-free rate, years until expiration, and so on) and instead calculate it using only the other Greeks? Can we use our other Greek quotes, the common ones, to derive values for speed? If it is possible to calculate it that way, it would be pretty easy to do so using simple formulas in Excel, I imagine.

    Thanks for any input you may have to share.