Option Greeks are mathematical measures that describe how sensitive an option's price is to changes in market parameters. They are essential tools for options traders to manage risk and construct hedged positions.

The Main Greeks

  • Delta (Δ): Change in option price per ₹1 change in underlying. Range: 0 to 1 for calls, -1 to 0 for puts. ATM options have delta ≈ 0.5.
  • Gamma (Γ): Rate of change of Delta. Highest for ATM options. Important near expiry.
  • Theta (Θ): Time decay — loss in option value per day, all else equal. Always negative for option buyers.
  • Vega (V): Change in option price per 1% change in implied volatility. Long options have positive Vega.
  • Rho (ρ): Change in option price per 1% change in interest rates. Less important for short-dated options.