The Options Greeks
Delta, Theta, and Vega — the three numbers that describe exactly how an option's price reacts to what actually changes around it.
The Greeks are a set of calculated values, published alongside every real options quote, each measuring an option's sensitivity to one specific factor. Five exist in total; three matter most for a first working understanding, covered here — Delta, Theta, and Vega.
| Greek | Measures sensitivity to | Plain-language read |
|---|---|---|
| Delta | A $1 move in the underlying stock | Roughly, how much the option's price moves for each $1 the stock moves |
| Theta | The passage of one day of time | How much value the option loses per day, all else equal, from time decay |
| Vega | A 1% change in implied volatility | How much the option's price moves if the market's expected future volatility changes |
Delta is commonly used as a rough, informal proxy for the market's own implied probability that an option finishes in-the-money — a call with a Delta of 0.30 is loosely read as roughly a 30% chance of finishing in-the-money, though this is an approximation, not an exact probability.
A call option has a Delta of 0.60. If the underlying stock rises by $1, the option's price rises by roughly $0.60, all else being equal. An option deep in-the-money might have a Delta close to 1.00 (moving almost dollar-for-dollar with the stock), while a far out-of-the-money option might have a Delta near 0.10 (barely reacting to a $1 move at all) — Delta itself changes constantly as the stock price and time to expiration both change.
- Every option seller is structurally on the opposite side of Theta from every option buyer — sellers benefit from time decay, buyers are fighting against it every single day the position is held.
- Vega means an option's price can move even when the stock price doesn't — a change in the market's expected future volatility alone moves option prices independent of any actual stock move.
- None of the Greeks are static — they recalculate constantly as the stock price, time to expiration, and implied volatility all change simultaneously.