Option Greeks are financial measures that quantify the sensitivity of an option's price to changes in various factors like underlying price, time, and volatility.
Delta (Δ)
- Measures change in an option's price price for every $1 move.
Gamma (Γ)
- Measures how much Delta changes as the underlying price changes.
- High Gamma means Delta will adjust quickly, increasing sensitivity to direction changes.
- Highest for at-the-money options close to expiration.
Gamma = 0.1, Underlying Price Change = 3
Delta Change = 0.1 * 3 = 0.3
Theta (Θ)
- Measures how much value an option loses each day due to time decay.
Theta = -0.08 means the option loses $0.08 in value each day.
Vega (ν)
- Measures how much an option's price changes with 1% change in implied volatility.
- Highest for at-the-money options with more time remaining.
If vega is 0.1 and implied volatility rises 2%, the option price increases by 0.1 * 2 = 0.2.
Rho (ρ)
- Measures how sensitive an option's price is to interest rate changes. 利率和選擇權價格關係