LAMBDA
The ratio of a change in an option’s contract price to a 1% change in the volatility of the option’s underlying price. It is one of many Greeks used to measure and manage risk sensitivities that are often used in analyzing options and derivatives. Each Greek determines a value’s sensitivity related to a small change in a parameter. It also determines the change in an option premiums for a percentage in implied volatility. When the value is high, an option price will be more sensitive to small change in volatility and vice versa.
Also known as kappa, sigma or vega
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