Part 9 Trading Master Class With Experts

Option Greeks in Depth

To truly master options, one must understand the Greeks. These mathematical tools describe how options react to different market factors.

Delta (Δ) – Price Sensitivity

Measures how much an option price changes if stock moves ₹1.

Call options: Delta between 0 and +1.

Put options: Delta between 0 and -1.

Example: If a call has delta = 0.5, and stock rises ₹10, option rises ₹5.

Gamma (Γ) – Acceleration of Delta

Delta itself changes as stock moves. Gamma measures this.

High gamma = higher sensitivity, riskier.

Near expiry, gamma becomes extreme.

Theta (Θ) – Time Decay

Options lose value as time passes (all else equal).

Theta tells how much an option loses daily.

Example: If theta = -5, option loses ₹5/day.

Sellers love theta (they earn decay). Buyers fear it.

Vega (ν) – Volatility Sensitivity

Measures how option reacts to 1% change in volatility.

High volatility = high premium.

Example: If Vega = 10, and implied volatility rises 1%, option price rises ₹10.

Rho (ρ) – Interest Rate Sensitivity

Measures impact of interest rate changes.

Less important in short-term trading.

📌 Takeaway: Greeks are like the dashboard of a car. Without them, you’re driving blind.