Option Greeks

What Option Greeks Are

Greeks are statistics representing sensitivity of an option’s price (or sensitivity of another Greek) to the individual factors, such as underlying price, passing time, or volatility. Their values always change as the respective factors change (for example delta of a call option rises as the underlying price rises).

An important property of the Greeks is that they are additive across different options on the same underlying security (options with different times to expiration and strike prices). This enables their use in management of option portfolios and hedging.

Basic Option Greeks

Below you can find the list of the 5 basic and most commonly observed option Greeks and what they mean. Click on the links to see more details regarding the mathematics, interpretation, value range, and use of individual Greeks:

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