Kappa
Kappa (or vega) is the sensitivity of an option's premium to variations in the implied volatility at which the option is quoted. It measures (at a specific point in time for the market), how an option's premium would change if the implied volatility of the underlying asset were to vary at maturity by 1 kappa.
- If the volatility goes up, the premium goes up (the portfolio is revalued).
- If the volatility goes down, the premium decreases (the portfolio depreciates).
The variation in volatility is measured in kappas, with 1 kappa being 1%.
You might also be interested in
-
BBVA Securities Account
Invest in stocks and securities from the major markets and in an extensive catalog of investment funds managed by the most prominent international managers. -
BBVA Dividend Reinvestment Account
Get the best yields from your stock dividends. No administration or maintenance fees.
