Is there a Greek term for IV?

When an option is declining in the final hour or two, it's mostly IV, not theta, I know. But is there any other way to describe this IV?

 

Time decay.

 

How about σιωπηρή μεταβλητότητα?

I'm not sure why you'd say that it's "mostly IV, not theta". IV is what is implied by the price of the option with a given stock price, tenor, strike, etc., and it does not "decay"; it just varies based on them. Since most of those factors are fixed, the main influence at that point would be the remaining time - i.e., theta (although I suppose you could make the case for inventory/willing buyers and sellers being influential as well.)

Oh, and just in case you were thinking of vega - nope, that's not it either. It tends toward zero as you approach expiration.

 

Not that I am aware of. The change in option price in the final hour or two is the same as changes in option prices during any hours, a combination of IV and theta.

 

And I imagine it's not vomma or any of those obscure second or third order Greeks, right?

 

Since those all measure the amount of change in the "one level up" functions, and those are all approaching zero as tenor -> 0... yeah, nah.

 

I wouldn't think so as those 2nd and 3rd degree of Greeks would refer to the overall acceleration of changes in a certain Greek term. As I stated before, the rapid decline of the IV that you observed during the last one or two hours on some days is due to multiple factors and not just one phenomenon described by a particular Greek term.

 

Vommitosa?

 

Dude. You use terms like "contango" and "backwardation" without even blushing... and you wanna talk smack? Puh-lease.

 

At least they are not second or third-order Greek words!