This article is the first of two pieces looking at the importance and role of ‘Greeks’ in structured products and derivatives.

In this first part, we will consider Delta and Gamma. These quantities are both directly connected to movements in the underlying asset. In the second part of the article will examine Vega (volatility), Rho (interest rates) plus sensitivities to dividend yield, correlation and credit spread. The terminology of the ‘Greeks’ was first adopted after the first usage of the Black Scholes model in the 1970s. This advance triggered an important change to pricing and trading vanilla (call a

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