Option Greeks: Lambda, Phi, and Rho2

Here we first give a summary of the major greeks, delta, gamma, theta, vega, and rho, before going on to introduce some further sensitivities, lambda, phi, and rho2. Lambda is a measure of an option's leverage; phi is the sensitivity of the price of a stock option relative to dividend yield; and rho2 is the sensitivity of the price of a foreign exchange option to the interest rate of the foreign currency.