Option Greeks
Sensitivities of an option price to its inputs — delta to spot, gamma to delta, theta to time, vega to volatility.
Also called: greeks · delta gamma theta vega · option delta
What it means
Delta is the change in premium per unit change in the underlying, and doubles as a rough probability of expiring in the money. Gamma is the rate at which delta itself changes, which is why an at-the-money option near expiry behaves so violently. Theta is time decay. Vega is sensitivity to implied volatility.
They are not independent. Buying a high-gamma near-expiry option also buys steep theta; selling vega to collect premium takes on the risk of a volatility expansion. Every Greek you want comes attached to one you may not.
All of them are model outputs, derived under assumptions — constant volatility, frictionless trading — that are not true. They are useful approximations, not measurements.
How OptionLab Pro’s engine uses it
In the live engine
Greeks come from our own Black-Scholes implementation over the live chain, checked against put-call parity in tests, rather than from a vendor field that cannot be audited. At-the-money delta is approximated at 0.5 for position sizing, and that approximation is stated at the point of use instead of being buried — the sizing suggestion is only as good as the assumption behind it.
go/internal/optionchain/greeks.go (BS premium/delta/theta, parity tests)The common mistake
Where traders get this wrong
Sizing a position from delta without accounting for gamma near expiry. The delta you entered on is not the delta you hold once price moves, and a near-expiry at-the-money position can change character inside a single session.
Go deeper
There is a full lesson on this in the Academy, with an interactive widget and a Hindi translation.
Related terms
Educational and analytical content only. OptionLab Pro is not a SEBI-registered investment adviser or research analyst and does not give buy or sell recommendations. Derivatives trading carries a high risk of loss.