Option Greeks Deep Dive: Delta, Gamma, Theta, Vega & Rho

Why Greeks Matter

An option's price is not driven by a single variable. It changes with stock price, time, volatility, and interest rates — often all at once. Greeks quantify each of these sensitivities so you can hedge or scale exposure with surgical precision.

Delta (Δ) — Directional Exposure

Definition: Rate of change of option price for a ₹1 move in the underlying.

• Call Delta: 0 to +1
• Put Delta: 0 to -1
• ATM options: |Delta| ≈ 0.50
• Deep ITM: |Delta| → 1.0 (behaves like the stock)
• Deep OTM: |Delta| → 0 (barely moves)