Describes the sensitivity of the value of an option or instrument to a change in a given underlying parameter.

  • Name Type Description
    Delta Decimal Shows the equivalent FX Spot exposure of a given position. This is the sensitivity of a position’s value with respect to the spot rate.
    DeltaCurrency String Currency of Delta.
    Gamma Decimal This is the second derivative of the position value with respect to spot, i.e. it shows how much the delta changes when spot changes (i.e. how much will the delta change when spot moves up by one percentage point.
    GammaCurrency String Currency of Gamma.
    InstrumentDelta Decimal Delta for the instrument.
    InstrumentGamma Decimal Gamma for the instrument.
    InstrumentTheta Decimal Theta for the instrument.
    InstrumentVega Decimal Vega for the instrument.
    MidVol Decimal The mid rate for the implied volatility used in pricing this option
    Phi Decimal Phi
    Rho Decimal Interest rate sensitivity indicator. Derivative of the option value with and risk free interest rate.
    TheoreticalPrice Decimal The theoretical price.
    Theta Decimal Also known as time decay. This shows by how much the position will increase or decrease in value from one day to the next.
    ThetaCurrency String Currency of Theta.
    ThetaInAccountCurrency Decimal Theta currency in account currency.
    Vega Decimal Sensitivity of a position with respect to the implied volatility used to price FX Options. This shows how much money is made (positive number) or lost (negative number) when volatility goes up by one percentage point.
    VegaCurrency String Currency of Vega.