Educational guide
Options Greeks — Delta, Gamma, Theta, Vega, Rho Explained
Greeks tell you how your option position will behave when something changes — the price, the volatility, the time, the rate. Master them once.
// delta
Sensitivity to underlying price. Calls: 0 to +1. Puts: 0 to −1. ATM options have delta ~0.5. Delta is a proxy for the probability of expiring ITM.
// gamma
Sensitivity of delta to price. Highest at-the-money and near expiry. High gamma = delta swings rapidly with small underlying moves — explains why short-dated ATM options whipsaw.
// theta
Time decay per day. Always negative for long options, positive for short options. Theta accelerates exponentially in the last 7–10 days to expiry — the basis of short-strangle and iron-condor strategies.
// vega
Sensitivity to implied volatility. Long options gain when IV rises; short options lose. After major events (results, RBI policy), IV crush often hurts long-volatility positions even when direction is right.
// rho
Sensitivity to interest rates. Tiny for short-dated equity options; matters more for LEAPS and currency options.
// frequently asked questions
Gamma and theta. Long-gamma positions need the move to come fast (before theta eats premium); short-gamma needs the move not to come at all.