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Hard · Options & Greeks · Quant Trader interview question · options, greeks, speed, gamma, derivatives, risk-management
You are managing a large options portfolio and need to understand the higher-order sensitivities of your options positions. Specifically, you are concerned about how the Gamma of your options changes as the underlying asset's price changes. This sensitivity is known as 'Speed'. Which of the following statements best describes 'Speed' in the context of options pricing?