Option Trading

Option Greeks – The Core of Option Pricing

Options are complex instruments whose prices change with many factors. To understand price behavior, traders rely on Option Greeks.

Delta (Δ)

Measures sensitivity of option price to underlying asset movement.

Call delta ranges 0 to +1; Put delta ranges 0 to -1.

Example: If Delta = 0.5, a ₹10 stock move increases option price by ₹5.

Theta (Θ)

Time decay. Options lose value as expiry approaches.

Bad for buyers, good for sellers.

Vega (ν)

Sensitivity to volatility. Higher volatility increases option premium.

Gamma (Γ)

Measures change in Delta when the stock price moves.

Rho (ρ)

Sensitivity to interest rate changes (less relevant in short-term trading).

👉 Mastering Greeks is key for professional option traders because they help predict how option premiums will behave under changing conditions.