Greeks

Five numbers that say how an option's price responds to everything that can change around it. Two of them decide most weekly-expiry trades.

Each Greek answers one question

An option's premium moves for four separate reasons: the underlying moved, time passed, volatility changed, or interest rates changed. The Greeks split the premium's sensitivity into exactly those pieces, one number each.

Delta is the underlying one — roughly how much the premium moves for a one-point move in the index or stock. A 0.5 delta call gains about 50 paise for every rupee the underlying gains. Delta doubles as a rough probability: a 0.30 delta option finishes in the money something like 30% of the time. It is also the number that tells you how many shares your option position is really equivalent to, which is how anyone hedging thinks about it.

Gamma is how fast delta itself changes. It is small for far-away strikes and largest at the money, and it grows sharply as expiry approaches. This is the mechanism behind the thing every Indian weekly trader has watched happen: an at-the-money option on Thursday afternoon that seemed to be doing nothing, going up four times in twenty minutes. Nothing unusual happened. Gamma was high, so delta climbed as the market moved, so each further point moved the premium more than the last.

Theta and vega are where the money usually goes

Theta is time decay — what the option loses per day simply because there is less time left. It is negative for buyers and positive for sellers, and it is not linear: decay accelerates into expiry, and the last two days of a weekly contract take out a disproportionate share of what is left. An option buyer who is right about direction but a day late is often still wrong about money.

This is the structural fact behind the weekly-expiry market in India. On a short-dated contract, theta is large relative to the premium, which is why systematic option selling is popular and why buyers need to be right quickly rather than eventually.

Vega is sensitivity to implied volatility. Buy an option when IV is elevated — before a result, before a policy decision — and be right about direction, and you can still lose money when IV collapses afterwards and takes the premium with it. Traders call it a volatility crush. It is the most common way a correct directional view turns into a losing trade, and it is entirely predictable from the IV rank before the event.

Rho measures sensitivity to interest rates. On Indian weekly and monthly index options it is close to irrelevant; it matters on long-dated contracts and is listed here for completeness.

Reading them together

Greeks are additive across a position, which is what makes them useful beyond a single contract. A four-leg structure has one net delta, one net theta, one net vega. That is the honest description of what the position is: not "an iron condor" but "short vega, positive theta, near-flat delta" — a bet that nothing much happens, funded by time.

Written that way, most positions turn out to be a bet on something other than what the trader thought they were buying.

All 5 terms in Greeks

Alphabetical, each with a worked example. Every one of these is searchable from the glossary index.

Delta

How much an option's price moves per ₹1 move in the underlying. Ranges 0→1 for calls, 0→−1 for puts. ATM ≈ 0.5. Also read as a rough probability of expiring ITM.

e.g. Delta 0.4 ⇒ option gains ≈₹0.40 for every ₹1 rise in the underlying (and ~40% odds of finishing ITM).

Gamma

The rate at which delta itself changes. Highest for ATM options near expiry — which is why near-expiry ATM options move explosively ('gamma risk').

e.g. An expiry-day ATM call with gamma 0.05: a 20-point NIFTY move lifts its delta from 0.50 toward ~0.60, so it accelerates fast.

Rho

Sensitivity of the option price to interest-rate changes. Usually the least important Greek for short-dated index options.

e.g. Rho 0.5: a 1% jump in interest rates lifts the call by ≈₹0.50 — negligible for a weekly option.

Theta

Time decay — how much premium an option loses each day, all else equal. Negative for buyers (works against you), positive for sellers. Accelerates as expiry nears.

e.g. Theta −8 ⇒ the option loses ≈₹8 per day just from time passing (₹600/lot on a 75 lot).

Vega

Sensitivity of the option price to a 1% change in implied volatility. Long options are long vega (gain when IV rises); sellers are short vega.

e.g. Vega 6 and IV rises from 20% to 23% → the option gains ≈ 6 × 3 = ₹18, even if the spot doesn't move.

Definitions are written for people learning to read a market screen, not as legal or regulatory definitions, and nothing on this page is investment advice — see the disclaimer. Spotted something wrong or unclear? Tell us.