What is Option Greeks?
Option Greeks are measures of how an option's price changes when one input changes: delta for the underlying price, gamma for the change in delta, theta for the passage of time and vega for implied volatility.
On this page
The four main Greeks
Delta: the change in option price for a 1-point move in the underlying. A NIFTY call with delta 0.5 gains about 0.5 points when NIFTY rises 1 point. Calls have delta from 0 to 1 and puts from 0 to −1.
Gamma: how much delta changes for a 1-point move. Gamma is highest for at-the-money options close to expiry, which is why premiums can move sharply on expiry day.
Theta: the premium an option loses per day from time decay, all else equal. Option buyers pay theta and option sellers collect it.
Vega: the change in option price for a 1 percentage point change in implied volatility.
Greeks in AOC
AOC shows delta for every strike and a Greeks table below the option chain comparing total call and put delta, vega, gamma and theta, with the difference between them.
