Options Greeks: Delta, Gamma, Theta, Vega, Rho

Delta (Δ)

Change in option price per ₹1 change in the underlying.

• Call delta: 0 to 1. At-the-money ≈ 0.5.
• Put delta: -1 to 0. Interpreted as approximate probability of expiring in-the-money.

Gamma (Γ)

Rate of change of delta. Highest for at-the-money, near expiry.

• High gamma = big P/L swings for small moves.