Option Greek ~ Omega or Lambda

Omega or Lambda is one of the least known Greeks 
(Henceforther we shall use Lambda only in this article) 

Unfortunately this Greek is most underrated/ignored Greek by many option buyers.

In simple terms Lambda is change is option price with respect to 1% change in underlying asset price. 

Basically Lambda measure change in option premium for % change implied volatility.  

In other words Lambda is partial derivative of Volatility which can be defined as change in price of underlying asset and with respect to speed. 

If value of Lambda is high then change in option prices are highly sensitive to change in prices of  underlying asset and vice-versa.  

In simple terms buyer of options must consider Lambda value while entering into option  trade. 

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Please note this blog post is for education purpose only. While utmost care is taken while writing this post but any human error cant be ruled out and we apologize for same in advance.