Knowledge Base

Option Greeks

Delta (Δ), Gamma (Γ), Theta (Θ), Vega (ν), Rho (ρ)

Delta: How much option price moves per ₹1 change in stock. ATM calls ≈ 0.5 delta.

Theta: Time decay — options lose value every day. Sellers benefit, buyers suffer.

Vega: Sensitivity to volatility. High Vega = option price rises with IV increase.

Gamma: Rate of change of Delta. Highest for ATM options near expiry.

Theta accelerates in the last week — avoid buying options with <7 days to expiry.

Pro Tip

Theta is your friend when selling options, your enemy when buying. Trade accordingly.

Option Greeks - Complete Guide

Everything you need to know about Option Greeks and how to optimize your financial strategy.

Understanding the Formula

The core calculation is based on:

Delta (Δ), Gamma (Γ), Theta (Θ), Vega (ν), Rho (ρ)

Key Concepts & Rules

Delta: How much option price moves per ₹1 change in stock. ATM calls ≈ 0.5 delta.

Theta: Time decay — options lose value every day. Sellers benefit, buyers suffer.

Vega: Sensitivity to volatility. High Vega = option price rises with IV increase.

Gamma: Rate of change of Delta. Highest for ATM options near expiry.

Theta accelerates in the last week — avoid buying options with <7 days to expiry.

Expert Strategy

Theta is your friend when selling options, your enemy when buying. Trade accordingly.

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