Greeks
TradingDefinition
Five Greek-letter risk metrics describing how an option's value responds to changes in underlying price, time, volatility, and interest rates.
Delta — change in option price per $1 change in underlying. Calls: 0 to 1; puts: −1 to 0.
Gamma — rate of change of delta. Highest at-the-money near expiration.
Theta — daily time decay. Negative for option buyers; positive for sellers.
Vega — change in option price per 1% change in implied volatility.
Rho — sensitivity to interest rates. Usually small for short-dated options.
Delta — change in option price per $1 change in underlying. Calls: 0 to 1; puts: −1 to 0.
Gamma — rate of change of delta. Highest at-the-money near expiration.
Theta — daily time decay. Negative for option buyers; positive for sellers.
Vega — change in option price per 1% change in implied volatility.
Rho — sensitivity to interest rates. Usually small for short-dated options.
Example
A call with delta 0.50 will gain ~$0.50 if the stock rises $1. With theta of −0.05, it loses $0.05/day from time decay. With vega 0.20, it gains $0.20 if IV rises 1 percentage point.