Zomma is the sensitivity of the option’s gamma to changes in implied volatility, where a higher zomma indicates that small changes in IV translate into large changes in gamma.
This is one of the so-called minor Greeks used to manage higher order risks in derivatives trading, most often in the context of options trading.
Somma is a very abstract concept that can only be understood in relation to other measurements used to evaluate an option’s risk position.
A horizontal spread is a simultaneous long and short position in derivatives for the same underlying asset and strike price, but with different expiration dates.
Boundary conditions were used to establish the minimum and maximum possible values of call and put options prior to the introduction of binomial tree and Black-Scholes pricing models.
Deep-in-the-money options have strike prices that are significantly above or below the market price of the underlying asset and thus contain mostly intrinsic value.
Delta hedging is an options strategy that aims to be directional neutral by establishing compensating long and short positions in the same underlying asset.
The extrinsic value is the difference between the market price of an option, also known as its premium, and its intrinsic price, which is the difference between the strike price of the option and the price of the underlying asset.