Option Greeks

The "Greeks" are measures of the sensitivity of an option's price to various factors:

1. Delta (Δ):

   • Measures the rate of change of the option's price concerning changes in the underlying asset's price.
   • For call options, delta ranges from 0 to 1; for put options, it ranges from -1 to 0.

2. Gamma (Γ):

   • Measures the rate of change of delta concerning changes in the underlying asset's price.
   • Indicates the curvature of the option's value relative to the underlying price.

3. Theta (Θ):

   • Measures the sensitivity of the option's price to the passage of time, also known as time decay.
   • Options lose value as they approach expiration, and theta quantifies this effect.

4. Vega (ν):

   • Measures the sensitivity of the option's price to changes in the volatility of the underlying asset.
   • Higher volatility increases the potential for the option to end up in-the-money, thus increasing its value.

5. Rho (ρ):

   • Measures the sensitivity of the option's price to changes in the risk-free interest rate.
   • For call options, a rise in interest rates typically increases the option's value; for put options, it decreases the value.