๐ฌ Stock Options Greeks
This page provides an introduction to Stock Options Greeks.
Stock options greeks tell you how an option's price is expected to change when certain variable like time, the stock price, and implied volatility change.
Deltaโ
Delta is the first primary option Greek, which estimates how an option's price will change with a $ change in a stock price.
Call Optionsโ
Let's say current the stock price is $, the option price is $, and delta is . In this scenario:
- If the stock price increases by $, then the option price becomes $.
- If the stock price decreases by $, then the option price becomes $.
Call options have positive delta values.
Put Optionsโ
Let's say the current stock price is $, the option price is $, and delta is . In this scenario:
- If the stock price increases by $, then the option price becomes $.
- If the stock price decreases by $, then the option price becomes $.
Put options have negative delta values.
Gammaโ
Gamma is second primary option Greek, which estimates how an option's delta will change with a $1 change in stock price.
Call Optionsโ
Call deltas increase toward when the stock price increases and decrease toward when the stock price decreases.
Call options have positive Gamma values.
Put Optionsโ
Put deltas increases toward when the stock price increases and decrease toward when the stock price decreases.
Put options have negative Gamma values.
Thetaโ
Theta is third primary option Greek, which estimates how an option's price will decrease with the passing of one day.
All options have negative theta values.
Vegaโ
Vega is fourth primary option Greek, which estimates how an option's price will change with a change in implied volatility.
All option have positive vega values.