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Options Greeks explained: delta, gamma, theta and vega

The Greeks look like a math exam. Each one just answers a simple question about how an option's price will change. Here are the 5 questions, in plain words.

Beginner guide · 9-minute read · Updated 2026-10-21

The short version

An option's price moves for more than one reason. The stock moves. Time passes. The market's mood about future swings changes.

The Greeks are 5 numbers that split those reasons apart. Each one says: "if this one thing changes, here's roughly how much the option's price changes."

New to calls, puts and premium? Start with options trading basics first. This page builds on it.

The 5 Greeks in one table

All of these are estimates from a pricing model. They're snapshots. They change as the stock, the clock and the market change.

Delta: the speed of the option

Delta tells you how much the option's price moves for each $1 move in the stock.

• A call with a delta of 0.50 gains about $0.50 if the stock rises $1.
• A put with a delta of −0.40 gains about $0.40 if the stock falls $1.

Because one standard US contract covers 100 shares, a delta of 0.50 means the contract moves about $50 for each $1 in the stock.

Many traders also read delta as a rough guess of the chance the option ends in the money. A 0.20-delta call is, very roughly, a long shot. It's a rule of thumb, not a promise.

Gamma: how fast delta changes

Gamma is the change in delta for each $1 the stock moves.

Say a call has a delta of 0.50 and a gamma of 0.05. The stock rises $1. The new delta is about 0.55.

Gamma is highest for options near the stock's current price and close to expiry. That's why short-dated options can swing from "almost worthless" to "worth a lot" in hours. More on that in 0DTE options explained.

Theta: the daily cost of waiting

Theta is how much value an option loses from one day passing, if nothing else changes.

A theta of −0.04 means the option loses about $0.04 a day, or $4 per contract. Theta tends to grow as expiry gets close. Our theta decay guide shows the curve step by step.

For buyers, theta is a cost. For sellers, it works the other way. But sellers take on other risks in return.

Vega: the mood meter

Vega is how much the option's price changes when Implied volatility (the market's guess of future swings) moves 1 point.

A vega of 0.10 means the option gains about $0.10 if implied volatility rises from 30% to 31%. It loses about $0.10 if it falls to 29%.

This is why an option can lose value even when the stock moves your way. If implied volatility drops sharply, vega pulls the price down. See IV crush explained.

Rho: the quiet one

Rho measures the effect of interest rates. For options that expire in a few weeks, it's usually tiny. For options a year or more out, it matters more. Most beginners can note it and move on.

One worked example (an illustration, not a trade idea)

A made-up stock, XYZ, trades at $100. A call with a $100 strike, 30 days out, costs $3.00 ($300 per contract). Its Greeks:

Now one day passes. The stock rises $2. Implied volatility stays the same. A rough estimate:

1. Delta effect: first $1 adds about $0.52. Delta grows to about 0.57. Second $1 adds about $0.57. Total about +$1.09.
2. Theta effect: one day costs about −$0.05.
3. New price: about $3.00 + $1.09 − $0.05 = $4.04.

Now the other way. One day passes, and the stock falls $2:

1. Delta effect: about −$0.52, then delta drops to about 0.47, so another −$0.47. Total about −$0.99.
2. Theta: another −$0.05.
3. New price: about $1.96.

The max loss in this example

You can test your own numbers with our options profit calculator.

Greeks for sellers flip around

Every Greek above has an opposite sign for the person who sold the option:

• The seller gains from theta, day by day.
• The seller loses from gamma when the stock moves fast.
• The seller loses from vega when implied volatility jumps.

Some selling positions can lose far more than the premium collected. Never sell an option until you can write down its max loss in dollars.

Common mistakes

• Treating delta as fixed. It changes with every move. That's what gamma is telling you.
• Ignoring theta on cheap options. A $0.30 option with −$0.10 theta loses a third of its value in a day if the stock sits still.
• Forgetting vega before big news. Implied volatility often rises before an event and drops after it.
• Using Greeks to predict direction. They describe sensitivity. They say nothing about where the stock goes next.

Try it today (no money needed)

1. Open an options chain in a demo account or a free site. Turn on the Greeks columns. Our guide to reading an options chain shows where to look.
2. Pick one call near the stock's price, about 30 days out.
3. Write down its price, delta, theta and vega.
4. Check it again tomorrow. Did it move the way the Greeks suggested?
5. Write one sentence on what surprised you.

Questions