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Options greeks

Delta

Delta is a measure of option price’s sensitivity to a one-point move in asset’s price (mathematically it’s the first derivative of an option’s price): ΔOptionPrice/$1(AssetPrice)

Gamma

Gamma is logically (it goes after delta), a second derivative. It denotes changes in delta per one point of asset’s price: ΔDelta/$1(AssetPrice)

Theta

Theta: an immensely important greek. It’s how much an option changes in price per day, and it goes down as expiration moves closer. Below is a basic chart of an option’s value decaying.
Option’s value decay due to theta. Source

Vega

Vega is option’s sensitivity to an underlying asset’s change in volatility. Usually, higher near the strike price recedes nearing expiration. A great visualization by QC is below:
3D chart of an option’s vega changes respective to asset price and time to expiration. Source
Even more on option greeks at QuantConnect and Investopedia’s excellent write-ups.