Option Greeks: The Final Dashboard

Imagine flying a sophisticated jet through a thunderstorm. You can't just look out the window; you need to trust your cockpit instruments. You need to know your altitude, airspeed, wind resistance, and fuel levels. In the options market, The Greeks are your cockpit instruments.

Option Greeks are mathematical variables that measure how sensitive an option's price is to various changes in the market. They tell you exactly how much your premium will change if the stock moves by ₹1, if time passes by 1 day, or if the volatility spikes. Without Greeks, you are trading on "gut feeling"; with Greeks, you are trading on "data."

1. Delta: The Probability Greek

Delta is the most important Greek. It measures the change in an option's price for every ₹1 change in the underlying stock. It also acts as a rough proxy for the probability that an option will expire In-the-Money (ITM).

• Calls: Have a positive Delta (0 to 1). If Delta is 0.50, and Nifty moves up by ₹10, your option will increase by ₹5.
• Puts: Have a negative Delta (0 to -1). If Delta is -0.50, and Nifty moves up by ₹10, your option will decrease by ₹5.

Moneyness and Delta:
• ITM Options: Delta near 1.0 (Moves like the stock).
• ATM Options: Delta near 0.5 (Moves half as fast).
• OTM Options: Delta near 0.1 (Barely moves).

2. Theta: The Silent Killer

Theta measures the rate of Time Decay. It tells you how much value your option loses every single day just by existing. Theta is the buyer's worst enemy and the seller's best friend.

As we saw in Module 07, Theta is not linear. It accelerates as expiry approaches. If an option has a Theta of -10, it will lose ₹10 of its value tomorrow even if the stock price doesn't move a single paisa. This is why "holding" options for multiple days requires a strong directional move to overcome this daily penalty.

3. Vega: The Volatility Greek

Vega measures how much an option's price changes for every 1% change in Implied Volatility (IV). Vega is why your option price can crash even when the stock price stays the same (IV Crush).

• Long Options (Buyers): Have Positive Vega. You want IV to go UP.
• Short Options (Sellers): Have Negative Vega. You want IV to go DOWN.

ATM options have the highest Vega, meaning they are the most sensitive to spikes in "Fear" or "Uncertainty" in the market.

4. Gamma: The Accelerator

Gamma is the "Greek of the Greek." It measures how much the Delta changes for every ₹1 move in the stock. If Delta is speed, Gamma is acceleration.

When you buy an OTM option and the stock starts moving toward your strike, the Delta increases because the probability of winning is rising. Gamma is what makes your profit grow "exponentially" rather than linearly. High Gamma is what creates the "Hero or Zero" move on expiry days, where a ₹2 option can become ₹50 in minutes.

Greeks Cheat Sheet Summary

Greek	Represents	Buyer Wants	Seller Wants
Delta	Price Move	High / Trending	Stable / Neutral
Theta	Time Decay	Low (Slow decay)	High (Fast decay)
Vega	Volatility	Increasing IV	Decreasing IV
Gamma	Acceleration	High (Exp. moves)	Low (Stable Delta)

Conclusion: You are now an F&O Professional

You have completed the full 10 modules of the StocKart University Derivatives Curriculum. You have traveled from the basic handshake of Forwards to the complex mathematical cockpit of the Greeks.