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๐Ÿ‡ฌ 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 $11 change in a stock price.

Call Optionsโ€‹

Let's say current the stock price is $100100, the option price is $55, and delta is 0.500.50. In this scenario:

  • If the stock price increases by $11, then the option price becomes $5.505.50.
  • If the stock price decreases by $11, then the option price becomes $4.504.50.
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Call options have positive (+)(+) delta values.

Put Optionsโ€‹

Let's say the current stock price is $100100, the option price is $55, and delta is โˆ’0.50-0.50. In this scenario:

  • If the stock price increases by $11, then the option price becomes $4.504.50.
  • If the stock price decreases by $11, then the option price becomes $5.505.50.
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Put options have negative (โˆ’)(-) 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 +1+1 when the stock price increases and decrease toward 00 when the stock price decreases.

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Call options have positive (+)(+) Gamma values.

Put Optionsโ€‹

Put deltas increases toward 00 when the stock price increases and decrease toward โˆ’1-1 when the stock price decreases.

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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.

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All options have negative (โˆ’)(-) theta values.

Vegaโ€‹

Vega is fourth primary option Greek, which estimates how an option's price will change with a 1%1\% change in implied volatility.

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All option have positive (+)(+) vega values.