OptionValuation Properties

The OptionValuation type exposes the following members.

Properties

	Name	Description
	Charm	Charm, or delta decay, measures the instantaneous rate of change of delta over the passage of time.
	Color	Color, or gamma decay, measures the rate of change of gamma over the passage of time.
	Delta	Delta measures the rate of change of option value with respect to changes in the underlying asset's price.
	Gamma	Gamma measures the rate of change in the delta with respect to changes in the underlying price.
	OptionStyle	Option style.
	OptionType	Type of option.
	Rho	Rho, the derivative of the option value with respect to the risk free rate.
	Speed	Speed measures the rate of change in Gamma with respect to changes in the underlying price.
	StockPrice	Stock price of the underlying asset.
	StrikePrice	Strike price of the underlying asset.
	Theta	Theta measures the sensitivity of the value of the derivative to the passage of time: the "time decay".
	TimeToMaturity	Time to the expiration date measured in years.
	Value	Value of the option.
	Vanna	Vanna, the second derivative of the option value with respect to the volatility.
	Vega	Vega, the derivative of the option value with respect to the volatility of the underlying asset.
	Volatility	Volatility of the underlying asset.
	Zomma	Zomma measures the rate of change of gamma with respect to changes in volatility.