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Fed Meeting Post-Mortem and Potential Midterm Election FalloutLong Straddle

Tyler Krett

Thursday 1 December 2022

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Glossary

Zomma Zomma is a third-order risk measure of the degree to which the gamma of an options contract is sensitive to changes in implied volatility. It is also referred to as 'D-gamma/D-vol.' Gamma itself is a second-order risk measure of an option's sensitivity of its delta to changes in the underlying price.

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Glossary
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