Core Option Greeks

The core option Greeks are model-based measures used to estimate how option value responds to the underlying price, time, and implied volatility. Start with Option Greeks for the combined framework, position-level approximation, units, and limitations.

Use the individual pages when one sensitivity drives the question. Each page explains the formula, common sign, reporting convention, practical position calculation, and risks that the Greek does not capture.

Choose the Right Greek

Practical Example

A listed equity call shows delta 0.55, gamma 0.04, theta -0.06, and vega 0.12, all quoted per option share under the platform’s conventions. For 10 long contracts with a 100-share multiplier:

• share-equivalent delta starts near 550;
• position gamma is about 40 share-equivalent delta units per small $1 stock move;
• daily theta is about -$60, all else equal; and
• vega is about $120 per one-point implied-volatility move.

Those estimates cannot simply be treated as guaranteed profit and loss. The Greeks change as the stock, volatility surface, and time change, and executable option prices include spreads and liquidity.

What to Check

• Confirm whether the displayed Greek is per option unit, contract, day, year, volatility point, or decimal change.
• Apply the number of contracts, contract multiplier, position sign, currency, and every strategy leg.
• Record the underlying price, model, volatility surface, rates, dividends, timestamp, and market quote source.
• Reprice or stress the position for large moves, gaps, skew changes, exercise, assignment, and expiration.
• Keep Delta Hedging separate from the sensitivity itself: a hedge adds execution, rebalancing, funding, and basis risk.

Common Mistakes

• Reading a Greek as a prediction rather than a local model sensitivity.
• Comparing values from different platforms without checking units and assumptions.
• Multiplying a per-share Greek by contracts but forgetting the contract multiplier.
• Treating net delta near zero as proof that the portfolio has little risk.
• Evaluating theta income without gamma, vega, gap, assignment, and liquidity risk.

The Options Industry Council provides public definitions and unit examples in Volatility and the Greeks. This section is educational only and does not recommend an option, hedge, or trading strategy.

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