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.

Delta

Delta is the first primary option Greek, which estimates how an option's price will change with a $$1$ change in a stock price.

Call Options

Let's say current the stock price is $$100$, the option price is $$5$, and delta is $0.50$. In this scenario:

• If the stock price increases by $$1$, then the option price becomes $$5.50$.
• If the stock price decreases by $$1$, then the option price becomes $$4.50$.

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Call options have positive $(+)$ delta values.

Put Options

Let's say the current stock price is $$100$, the option price is $$5$, and delta is $-0.50$. In this scenario:

• If the stock price increases by $$1$, then the option price becomes $$4.50$.
• If the stock price decreases by $$1$, then the option price becomes $$5.50$.

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Put options have negative $(-)$ delta values.

Gamma

Gamma is second primary option Greek, which estimates how an option's delta will change with a $1 change in stock price.

Call Options

Call deltas increase toward $+1$ when the stock price increases and decrease toward $0$ when the stock price decreases.

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

Put Options

Put deltas increases toward $0$ when the stock price increases and decrease toward $-1$ when the stock price decreases.

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Put options have negative $(+)$ Gamma values.

Theta

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 $(-)$ theta values.

Vega

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

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