What is Options Greeks (Delta, Gamma, Theta, Vega)?
The Greeks measure how an option's price changes in response to different factors: Delta (price), Gamma (Delta's sensitivity to price), Theta (time decay), Vega (implied volatility), and Rho (interest rates).
Formula
How to Interpret
Delta ≈ probability of finishing in-the-money and is the standard hedge ratio. Theta hurts long options every day (especially in the last 30 days). Vega is critical around earnings - IV crush after the announcement can kill long-options trades even if direction is right. Greeks apply identically in US and Indian markets, but liquidity for exotic Greeks-aware strategies (calendars, butterflies) is far higher in US.
Typical Ranges
Delta 0.30–0.40 strikes are most actively traded. For directional swing trades, prefer Delta 0.50–0.70 (less theta drag, more directional sensitivity).