Greek Meaning Impact on Option Price Behaviour Best Usage Example (Nifty/Bank Nifty) Delta (Δ) Measures how much an option’s price changes with a 1-point move in Nifty/Bank Nifty. Higher Delta = Greater price movement with the index. ITM options have…
Rho measures how much an option’s price changes when interest rates rise by 1%. Call options have positive Rho, meaning they increase in value when interest rates rise, while put options have negative Rho, meaning they lose value when interest…
Vega measures how much an option’s price changes with a 1% change in implied volatility (IV). Higher Vega means an option is highly sensitive to changes in volatility, while lower Vega means the option is less affected by volatility swings…
Theta represents how much an option’s price decreases every day due to the passage of time if all other factors remain constant. Since options have an expiration date, their value erodes over time, especially for ATM and OTM options. Theta…
Gamma measures how much Delta changes when the underlying index moves by 1 point. Since Delta itself changes as the price moves, Gamma helps traders understand how quickly an option’s price will react to changes in the underlying index. A…
Delta represents how much an option’s price is expected to change when the underlying index (Nifty or Bank Nifty) moves by 1 point. Call options have a positive Delta (0 to 1), meaning their value increases when the index rises,…