Option Greeks: Delta, Gamma, Theta, Vega and Rho explained
Four numbers that say how an option's price will respond before it does, and a fifth that rarely matters on weekly options. None of them predicts the market; each one answers a narrower, more useful question.
By the EzyOptions Team · Updated 2026-10-07
What is delta? How much, and which way
Delta is the change in an option's premium for a one-point move in the underlying. A call with a delta of 0.50 gains about half a point when NIFTY rises one point; a put's delta is negative, because puts gain when the market falls. Deep ITM options approach a delta of 1 and trade almost like the underlying; far OTM options sit near 0 and barely react.
Delta is also read as a rough probability: a 0.30-delta option is, loosely, one the market prices with about a 30 percent chance of finishing in the money. Loosely is the operative word; it is a model's shorthand, not a promise.
What is gamma? How fast delta itself changes
Gamma is the change in delta per point of movement. It is highest at the money and near expiry, which is why positions there feel twitchy: each move re-prices the next one. Buyers own gamma, so movement helps them. Sellers are short it, so a quiet market is their friend and a fast one is their risk.
What is theta? What a day costs
Theta is the premium an option loses per day with everything else unchanged. It is the melt of time value described in the basics guide, given a number. Theta accelerates into expiry, especially for ATM strikes, which is exactly when weekly index options are most actively traded. A buyer pays theta for the chance of a move; a seller collects it for bearing the risk of one.
What is vega? The price of expectation
Vega is the change in premium for a one percentage point change in implied volatility (IV), the market's own estimate of how much movement lies ahead. News, events and nerves raise IV and inflate every premium; calm drains it. An option can lose money on a day the underlying goes the right way, purely because IV came off. That surprise is vega, and it is the Greek most new buyers meet the hard way.
IV also differs across strikes, a pattern called skew. Comparing a strike's IV to its neighbours tells you what the market is paying up for, protection below or chase above. The implied volatility guide turns IV into an expected move and explains IV Rank, IV Percentile and India VIX.
What is rho?
Rho is the change in an option's premium for a one percentage point change in interest rates. Calls gain a little when rates rise and puts lose a little. Rho grows with time to expiry, so it is close to zero on a weekly NIFTY option and worth watching only on long-dated contracts, which is why this guide spends its time on the other four.
| Greek | Change in premium for | Bought call / bought put | Largest when |
|---|---|---|---|
| Delta | A one-point move in the underlying | 0 to 1 / 0 to -1 | Deep in the money |
| Gamma | Delta's own change per one-point move | Positive / positive | At the money, near expiry |
| Theta | One day passing | Negative / negative (almost always) | At the money, near expiry |
| Vega | A one percentage point change in implied volatility | Positive / positive | At the money, longer to expiry |
| Rho | A one percentage point change in interest rates | Positive / negative | Long-dated options |
A worked example: right direction, still a loss
A NIFTY call trades at 180 with delta 0.5, theta -12 and vega 14. Over one day NIFTY rises 40 points and implied volatility falls 2 percentage points. A first-order estimate, ignoring gamma, is 180 + 0.5 × 40 + (-12) + 14 × (-2) = 160.
- Delta added 20 points for the move.
- Theta took 12 points for the day.
- Vega took 28 points for the fall in IV.
Net, the call is worth about 20 points less, or 1,300 rupees on one lot of 65, on a day the index went the buyer's way. The values are illustrative.
A position has Greeks too
Every multi-leg strategy nets its legs' Greeks into one set. A straddle starts near zero delta but long gamma and vega, and pays theta for the privilege. A covered call sheds a little delta and collects theta. Reading a position's net Greeks is how traders know what they actually hold, rather than what they meant to build.
Where to watch them move
Greeks are not homework to calculate once; they shift with every tick, and the useful habit is watching them next to price. The option chain here shows the Greeks per strike on market data, and the strategy builder nets them per position, so the numbers in this guide are one click from live practice.
Option Greeks: common questions
What are option Greeks?
Greeks are sensitivities: each one measures how an option's premium responds to one input. Delta responds to the underlying's move, Gamma to the change in Delta itself, Theta to a day passing, Vega to a change in implied volatility and Rho to a change in interest rates. Together they say what a position actually holds.
Which Greek hurts option buyers the most?
Usually Theta, then Vega. A buyer pays time decay every day the market does not move, and a drop in implied volatility can cost money even on a day the underlying goes the right way. Watching both next to price is most of what separates deliberate buying from hopeful buying.
What is implied volatility in options?
Implied volatility is the market's own estimate of how much movement lies ahead, backed out of option prices themselves. Rising IV inflates every premium and falling IV drains them, which is the effect Vega measures per strike. IV also differs across strikes, a pattern called skew.
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Educational content only: not investment advice. You are responsible for your own trading decisions.