Options Crash Course: The Greeks - July 2, 2021 - Color in Options Explained

published 3 weeks ago by tastytrade, Inc.

Back in episode #4 of the Greeks Crash Course, we learned about Gamma. Specifically we learned about the Gamma Risk that is inherent to options as they approach expiration. Well here in episode #7, we are introduced to Color, which is a second-order derivative of the Black-Scholes Model that measures how Gamma changes over time. So in essence, Color shows us the mathematical support for Gamma Risk’s existence.

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