What is Option Greeks?
Option Greeks are measures of how an option's price changes when one input changes: delta for the underlying price, gamma for the change in delta, theta for the passage of time and vega for implied volatility.
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What are delta, gamma, theta and vega?
Delta: the change in option price for a 1-point move in the underlying. A NIFTY call with delta 0.5 gains about 0.5 points when NIFTY rises 1 point. Calls run from 0 to 1 and puts from 0 to −1.
Gamma: how much delta changes for a 1-point move. It is highest for at-the-money options near expiry, which is why premiums can double in minutes on expiry day.
Theta: the premium an option loses per day to time decay, other things equal. Buyers pay it, sellers collect it.
Vega: the change in option price for a 1 percentage point change in implied volatility.
How do you check delta in an option chain?
Most broker option chains hide the Greeks behind a settings toggle; in Zerodha Kite you turn on Greeks in the option chain view. In AOC, delta is printed under the IV of every strike, so you never need to switch it on.
Which Greek matters most for an intraday buyer?
Delta and theta. Delta tells you how much of the index move you actually capture; a 0.2 delta option needs a big move to pay. Theta tells you what you lose by waiting. Buying deep OTM options close to expiry gives you low delta and high theta at the same time, which is why most of them expire worthless.
How does AOC use the Greeks?
Below the chain, the Greeks table compares total call and put delta, vega, gamma and theta with the difference between them, and the Greeks chart tracks those totals through the day. The LTP Calculator uses a strike's delta, gamma and theta to estimate its premium at a price you type.
