DgammaDtime

English

Etymology

From the mathematical formula ${\frac {\partial \Gamma }{\partial \tau }}$, the partial derivative of gamma (Γ) with respect to time (τ), pronounced as "D gamma (by) D time".

Noun

DgammaDtime (uncountable)

1. (finance) A third-order measure of derivative price sensitivity, expressed as the rate of change of gamma with respect to time, or equivalently the rate of change of charm with respect to changes in the underlying asset price.
   • 2006, Paul Wilmott, The Best of Wilmott 2, page 38:

     Figure 9 illustrates DgammaDtime of an option with respect to varying asset price and time to maturity.

   • 2007, Espen Gaarder Haug, The Complete Guide to Option Pricing Formulas, page 49:

     The change in gamma with respect to small changes in time to maturity, DGammaDtime - also called GammaTheta or color (Garman, 1992) — is given by (assuming we get closer to maturity): […]

   • 2019 February 6, Mikhail M. Dyshaev, Vladimir E. Fedorov, “The Sensitivities (Greeks) for somemodels of option pricing with market illiquidity”, in Researchgate:

     Colour (DgammaDtime, gamma bleed) (Fig. 137–145) characterizes the changing of Gamma as time changes: […]

Synonyms

• color, colour, gamma decay

Hypernyms

• (measure of derivative price sensitivity): Greeks (includes list of coordinate terms)