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 high Delta (~1), ATM moderate (~0.50), OTM low (~0.10-0.30). |
Used for directional trades to predict price changes. |
Nifty 22,000 Call (Δ = 0.60): If Nifty rises 10 points, option gains ₹6. |
Gamma (Γ) |
Measures how much Delta changes when Nifty/Bank Nifty moves 1 point. |
High Gamma = Faster Delta change, sharper price swings. |
ATM options have the highest Gamma, ITM and OTM lower. |
Important for short-term traders, as small moves impact option prices. |
Bank Nifty 47,000 Put (Γ = 0.05): If Bank Nifty drops 10 points, Delta shifts from -0.50 to -0.45, making the put option gain value faster. |
Theta (Θ) |
Measures how much an option loses value daily due to time decay. |
Higher Theta = Faster value loss near expiry. |
ATM options lose value the fastest, OTM and ITM slower. |
Key for option sellers, as time decay works in their favour, while buyers lose value. |
Nifty Weekly Call (Θ = -5): If Nifty is unchanged, the option price drops ₹5 overnight due to Theta decay. |
Vega (ν) |
Measures how much an option’s price changes with a 1% change in implied volatility (IV). |
High Vega = More impact from volatility shifts. |
ATM and long-term options have higher Vega, ITM and OTM less. |
Useful for trading around major events like RBI policy, earnings, or global news. |
Bank Nifty 47,000 Call (Vega = 10): If IV rises from 20% to 21%, the option price gains ₹10. |
Rho (ρ) |
Measures how much an option’s price changes with a 1% interest rate change. |
Higher Rho = Calls gain value, puts lose. |
Affects long-term options more, minimal for short-term. |
Used for long-term strategies involving rate changes. |
Nifty 24,000 Call (Rho = 15): If RBI raises rates by 1%, the option gains ₹15. |