An Introduction to The Greeks

Delta: Pricing sensitivity of the theoretical options value to changes in the underlying asset’s price. 

Gamma: The rate of change of an options delta as a basis of a $1.00 appreciation in options price, or one point movement in the price of the underlying asset. Thus, calls confer a positive delta within (0-1) range while puts confer a negative delta within a (-1-0)

Theta: The rate at which an option’s value declines with passage of time. If the conditions persist , then value is erodes until the contract expires, and is therefore rendered worthless.  Thus, theta in finance can often be referred to as time decay. 

Omega: The sensitivity or rate of change of an options price with respect to fluctuations in the price of the underlying asset.

Vega: Sensitivity of an option’s value  to changes in the volatility of the underlying asset.

Rho: The sensitivity of an options value to changes in the risk-free rate of interest.