Complex sentence: The intuition behind that technique, when applied to derivatives, is the following: note that the source of the variance of a derivative will be directly dependent on the risks (e.g. delta, vega) of this derivative.
Split into simpler sentences: The intuition behind that technique, when applied to derivatives, is the following. Note that the source of the variance of a derivative will be directly dependent on the risks (e.g. delta, vega) of this derivative.