Option greeks are the sensitivity numbers of an option — they estimate how much the premium should change when exactly one thing moves. Delta and gamma track the underlying’s price, theta tracks the passage of time, vega tracks implied volatility, and rho tracks interest rates. Together they answer the question every option trader eventually asks: “if X happens, what happens to my P&L?” Greeks are computed from a pricing model (typically Black-Scholes) using spot, strike, time to expiry, IV and interest rates — the exchange doesn’t publish them — and they change continuously as those inputs move, so every greek you read is a snapshot, not a constant.
| Greek | Measures sensitivity to | Typical range / sign (long option) |
|---|---|---|
| Delta | Underlying price | 0 to +1 (calls), 0 to −1 (puts) |
| Gamma | Underlying price (via delta) | Positive; peaks ATM, spikes near expiry |
| Theta | Time passing | Negative; fastest ATM near expiry |
| Vega | Implied volatility (per 1%) | Positive; highest ATM, longer-dated |
| Rho | Interest rates (per 1%) | Small; + for calls, − for puts |
One running example
Numbers make greeks concrete, so we’ll carry a single option through this whole guide: Nifty at 25,000; you buy the 25,000 CE with 7 days to its Tuesday expiry, IV 12%. The model prices it near ₹180 per unit, and one lot of 65 costs about ₹11,700. Its greeks come out approximately: delta 0.53, gamma 0.001, theta −₹13/day, vega ₹14 per 1% IV, rho ₹2.5 per 1% rates. All approximate — they shift with every tick.
What is delta?
Delta is the rate of change of the premium per 1-point move in the underlying. Our 25,000 CE has a delta of 0.53: if Nifty rises 1 point, the premium gains about ₹0.53 per unit. Calls have deltas between 0 and +1, puts between −1 and 0. At-the-money options sit near ±0.5; deep ITM options approach ±1 (they move almost one-for-one with the index); far OTM options approach 0 (they barely respond).
Delta wears two other useful hats:
- A rough probability. A 0.53-delta call has roughly a 53% chance of expiring in the money; a 0.30-delta call about 30%. It’s an approximation, but it makes delta the standard shorthand for how aggressive a strike is.
- A hedge ratio. Position delta = delta × lot size. One lot of our call is 0.53 × 65 ≈ 34.5 units of Nifty exposure — the position behaves like being long about 34 units of the index, for now.
What is gamma?
Gamma is the rate of change of delta itself per 1-point move. Our option’s gamma of 0.001 means a 100-point Nifty rally lifts its delta from ~0.53 to ~0.63 — the option gets more sensitive as it moves into the money. Gamma is positive for long calls and long puts, negative when you’re short either.
Gamma is why a long option’s P&L curves in your favour: on that 100-point rally the premium gains ~₹53 from delta plus ~₹5 more from delta rising along the way — about ₹58 per unit, or ₹3,770 per lot. On a 100-point fall, the same curvature cushions the loss. The buyer’s friend is the seller’s landmine: gamma concentrates at ATM strikes and grows explosively as expiry approaches, which is where expiry-day risk comes from (more below). The Gamma Exposure tool maps where this concentration sits strike by strike.
What is theta?
Theta is the premium the option loses per day from time passing alone, everything else unchanged. Our call bleeds about ₹13 per unit per day — roughly ₹845 per lot, every day, market moving or not. That is the rent a buyer pays for holding the position, and precisely the income the seller collects.
Two properties matter in practice:
- Decay is non-linear. ATM time value shrinks roughly with the square root of time remaining, so decay is gentle months out and brutal in the final week. By 2 days to expiry, our option’s theta roughly doubles to ₹22–25/day. On expiry day itself, an ATM option can shed most of its remaining value by early afternoon with no index move at all.
- Weekly expiries keep you on the steep part. With Nifty options expiring every Tuesday, a buyer of the current weekly series is almost always inside that final, fastest week of decay. This is the answer to the most common beginner complaint — “the market didn’t fall, why did my call lose money?” You can watch it happen in real time on the Premium Decay tool.
What is vega?
Vega is the premium change per 1-percentage-point change in implied volatility. Our option’s vega of ₹14 means IV moving from 12% to 13% adds about ₹14 per unit (₹910 per lot) — and IV dropping takes the same away. Vega is positive for long calls and puts, and it’s largest for ATM and longer-dated options, shrinking toward expiry.
Vega’s practical lesson is event risk. Ahead of the Budget, RBI policy, election results or earnings, IV inflates premiums; once the event passes, IV collapses — the IV crush — and buyers can lose money even when they called the direction right. If you’re not sure what IV itself is, read our implied volatility guide first; the Vega Analysis tool shows where vega sits across strikes and expiries.
What is rho — and why can you mostly ignore it?
Rho measures sensitivity to interest rates: positive for calls, negative for puts, per 1% rate change. For weekly and monthly index options it is tiny — about ₹2.5 on our example, against a ₹180 premium — and rates rarely move 1% overnight. It matters for long-dated options; for the trades most Indian retail traders actually take, it’s the greek you can safely read last.
How do greeks combine in spreads?
Position greeks are additive across legs — sum each leg’s greek (signs flipped for short legs) and you get the whole position’s exposure. That arithmetic is exactly how spreads shape risk: in a bull call spread at 25,000/25,200, the short call’s negative delta partially offsets the long call’s, leaving a modest positive net delta — while much of the theta and vega cancel between the legs. The result is a position that keeps directional exposure but largely neutralises time decay and IV swings, which is the entire point of trading spreads over naked options.
You don’t need to do this by hand: the Strategy Builder computes net position greeks for any multi-leg setup as you build it, and the Options Simulator lets you watch those greeks play out on live or historical data before risking capital.
Which greek matters most for your trading style?
| Trader | Lives on | Pays / fears | First number to check |
|---|---|---|---|
| Option buyer (directional) | Delta, gamma | Theta (daily rent), IV crush | Delta of the strike |
| Option seller (income) | Theta | Gamma (expiry risk), vega spikes | Net gamma near expiry |
| Spread trader | Net position delta | Little — theta/vega largely netted | Net greeks of the structure |
| Expiry-day trader | Gamma | Gamma — it dominates everything | Distance from ATM |
Why expiry day is a gamma-and-theta regime
Near expiry, both of the “fast” greeks peak at once. ATM gamma on expiry day can be many multiples of its month-out value, so delta snaps between near-0 and near-1 on small index moves — an OTM short option that looked safe at 10 a.m. can be an ATM emergency by noon. Meanwhile theta is at its steepest, sandpapering ATM premiums down hour by hour. Every Tuesday, Nifty’s expiring series turns into this regime: buyers need the move to happen fast before decay eats the premium, and sellers earn their best theta while carrying their worst gamma. Understanding that trade-off — not memorising formulas — is what the greeks are actually for.
Key terms
- Delta — premium change per 1-point move in the underlying; 0 to +1 for calls, 0 to −1 for puts; doubles as a rough ITM probability.
- Gamma — change in delta per 1-point move; positive when long options; peaks ATM and near expiry.
- Theta — premium lost per day to time decay; negative for buyers, collected by sellers; accelerates into expiry for ATM strikes.
- Vega — premium change per 1-percentage-point change in IV; highest for ATM and longer-dated options.
- Rho — premium change per 1% change in interest rates; negligible for short-dated index options.
- Position greeks — the sum of each leg’s greeks (short legs flip sign) times lot size; the true exposure of a multi-leg position.