The Greeks
The Greeks are risk measures that quantify how an option’s price responds to changes in the underlying, time, volatility, and interest rates.
The primary Greeks are delta (price), gamma (delta’s rate of change), theta (time decay), vega (volatility), and rho (interest rates). Each isolates one source of risk.
They are partial derivatives of an option-pricing model such as Black–Scholes and are the standard language for managing an options position’s exposures.
Example. A position with +50 delta, −20 theta, and +30 vega gains ~$50 per $1 up-move, loses ~$20 per day, and gains ~$30 per 1-point rise in IV.
FAQ
What are the main option Greeks?
Delta, gamma, theta, vega, and rho — measuring sensitivity to price, the rate of delta change, time, volatility, and interest rates respectively.
Where do the Greeks come from?
They are the partial derivatives of an option-pricing model (e.g. Black–Scholes) with respect to each input.