Options Greeks: Delta, Gamma, Theta & Vega
The Greeks measure how an option's price responds to changes in the stock, time, volatility and rates. No single Greek explains a position, and they change together.
Educational content. Last reviewed October 3, 2026. Not investment advice.
The four common Greeks
Each isolates one variable, holding the others constant.
| Greek | Measures | Typical sign for a long option |
|---|---|---|
| Delta | Price change per $1 in the stock | Calls positive, puts negative |
| Gamma | Change in delta per $1 in the stock | Positive |
| Theta | Price change per day from time passing | Negative |
| Vega | Price change per 1 point of implied volatility | Positive |
Worked example
A long call has delta 0.50, gamma 0.05, theta -0.04 and vega 0.12.
Stock +$1: price change about +$0.50, delta then rises to about 0.55 One day passes: about -$0.04 per share, or -$4 per contract IV +1 point: about +$0.12 per share, or +$12 per contract
Why they interact
A short-dated option can have high gamma and fast decay. A long-dated option has lower theta and higher vega. Selling options reverses the signs: you earn time decay but are exposed to larger moves.
Read a combined sensitivity example
Consider a hypothetical call with delta 0.40, theta -0.03 and vega 0.12 per option share. A small $1 stock rise might add about $40 per standard contract. One day of modeled decay might subtract $3, while a one-percentage-point IV increase might add about $12. Quote conventions vary, so confirm the units.
These figures cannot simply forecast tomorrow's option price. They assume other inputs remain fixed, and gamma changes delta as the stock moves. Market events may change several inputs simultaneously. The Greeks describe local sensitivities rather than an independent set of future cash payments.
Combine legs before judging exposure
In a spread, calculate net exposure with the long and short signs. Two call deltas of 0.60 and 0.35 give a net long delta of about 0.25 when the higher-delta call is bought and the other is sold. Theta and vega also offset to a degree, but the relationships change over time.
A position that looks nearly delta-neutral today can become directional near a strike or expiration. Compare the net Greeks with the full payoff structure, fees and assignment risk. A defined expiration-loss calculation does not remove execution risk while the position remains open.
Visual explainer
Delta: directional exposure
Select a delta to see what it means for one call contract.
Out of the money, delta 0.30
Moderate sensitivity. Sold options here collect more premium than at 0.15 and are more likely to finish in the money.
One standard contract has about 30 shares of price exposure: roughly $30.00 per small $1 stock move, or $0.30 per quoted share, with other inputs held constant.
Delta is a model sensitivity, not a probability forecast. Values shown are examples, not quotes.
Risks
- Greeks are estimates from a model.
- They shift quickly near expiration.
- Large moves make first-order estimates inaccurate.
Research tools that use this concept
- Options Trading Signals & Strategy ResearchExplore 11 options strategy tools. Review strikes, expirations, premiums, liquidity and payoff scenarios before making your own trading decision.
- Options Scanner for Strategy-Specific ResearchUnderstand how TradingSignalAI screens option contracts, applies strategy filters and ranks opportunities. Research trade-offs, not just high premiums.
Related guides
- Options Delta: Sensitivity, Not a GuaranteeLearn what delta measures, how call and put deltas differ, and why a delta-based probability estimate is not a guaranteed assignment or profit forecast.
- Implied Volatility: Options Pricing & LimitsUnderstand implied volatility, its relationship to premiums and expected movement, and why volatility estimates and historical proxies have limitations.
- Extrinsic Value: Time Value in OptionsCalculate an option's extrinsic value and understand time decay, volatility and why exercising a long-dated call can forfeit remaining time value.
- Options Academy: Strategies, Metrics & RiskLearn options strategies, Greeks, volatility, premium and assignment. Work through labeled examples and connect the concepts to TradingSignalAI's research tools.
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