Which of the following statements regarding sensitivity risk measures is correct?

• Statement 1: An option's delta measures the sensitivity of the option's value to changes in the value of the underlying.

• Statement 2: The first-order effect reflecting the relationship between the option price and the volatility of the underlying is known as an option's gamma.

• Statement 3: The sensitivity of an option's delta to a change in the underlying is called the option's vega.