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Definition: A Greek letter. Lower case sigma is often used to symbolize “standard deviation.” Because the volatility of an option is measured as the “standard deviation of the annual percentage change continuously compounded,” the term sigma is often used to refer to an option’s volatility. In the context of option Greeks, it is sometimes used to mean the same things as vega. Upper case sigma is used to mean a summation.
Source: Dictionary of Financial Engineering. Hoboken: Wiley, 2000. Credo Reference. Web. 08 August 2012.