Options Greeks

The Greeks quantify how different factors affect an option's price, helping traders manage risk.

The five main Greeks

Delta (Δ)

How much the option price changes for a $1 move in the stock. Calls: 0 to 1. Puts: −1 to 0. Also approximates the probability of expiring in the money.

Gamma (Γ)

The rate of change of delta. High gamma means delta changes quickly—important near expiration for ATM options.

Theta (Θ)

Time decay—how much the option loses per day. Always negative for option buyers. Accelerates as expiration approaches.

Vega (ν)

Sensitivity to implied volatility. A vega of 0.10 means the option price changes $0.10 for each 1% change in IV.

Rho (ρ)

Sensitivity to interest rate changes. Generally the least impactful Greek for short-term options.

Practical usage

• Delta: Position sizing and directional exposure
• Gamma: Risk management near expiration
• Theta: Critical for income strategies (selling options)
• Vega: Evaluate IV exposure before earnings or events