FX Options most important greeks

LBL · December 30th, 2013, 2:02 pm

What are the most important greeks when managing FX options risk? Besides Delta, Gamma, Vega, Theta, the 2 Rhos, what are other relevant greeks? My gut feeling would also add Vomma (Gamma of Vega) and Speed (Gamma of Gamma). Any other second or third derivatives that could also be relevant?

giladr · December 31st, 2013, 8:25 am

imho vanna (d vega d spot). I didn't really see people paying much attention to speed, but it might have been a bad thing.

LBL · January 6th, 2014, 11:36 pm

You are absolutely right, Vanna is very important. What about Charm, Color and Veta? I mean, when options are more or less ATM and they are getting to expiration date, I guess they must also play an important role (especially Charm, right?). You are right about Speed, most of the time it doesn't play an important role (huge oscillations are rare).Thanks again

giladr · January 7th, 2014, 8:21 am

Both Charm and Color are relevant only for very short expiries, when it's less about the option itself and more about the spot behavior you expect to see in the next 2-3 days.

LBL · January 7th, 2014, 12:04 pm

So, if I'm 1 month away from expire, not need to worry about it, right?