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### 15 Cards in this Set

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 Delta The sensitivity of an option's theoretical value to a change in the price of the underlying contract. Gamma The sensitivity of an option's delta to a change in the pirce of the underlying contract. Rho The sensitivity of an option's theoretical value to a change in interest rates. Theta The sensitivity of an option's theoretical value to a change in the amount of time remaining to expiration. Vega (or sometimes Kappa) The sensitivity of an option's theoretical value to a change in volatility. Delta (call) formula in BSM - Delta (put) formula in BSM - D1 formula in BSM - D2 formula in BSM - Gamma Call and Put formula in BSM - Rho (call) formula in BSM - Rho (put) formula in BSM - Theta (call) formula in BSM - Theta (put) formula in BSM - Vega Call and Put formula in BSM -