Zeta
Zeta refers to the percentage change in an options price, per 1% change in implied volatility.
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Zeta: The percentage change in an options price per 1% change in implied volatility.
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Zeta
An option price's sensitivity to Implied Volatility. ...
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4/28/00 zeta Definition: The market value of an option, less its model value, using the ATM implied vol for the same expiration.
Application: Zeta is a measure of the importance of using the volatility smile, rather than only the ATM volatility.
The six Greeks are DELTA, GAMMA, THETA, VEGA,RHO and ZETA. Unless you are researching a doctoral thesis on the minute details of options, and are a mathematical and statistical genius of some note, ...
Zeta (finance term)
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 See also: Volatility, Option, Options, Implied, Risk
  
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