#Learning #Options #Greeks
A layman explanation of option Greeks
a) Delta :
i) If delta is +0.6, it means if underlying changes by 1 unit the option changes by +0.6 units.
ii) Delta of long Call is positive (0 to 1) and long put is negative (-1 to 0)
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iii) Delta of ATM call option is 0.5, ITM is between 0.5 to 1 and OTM is 0 to 0.5. ( -ve for puts)

b) Gamma :
i) If gamma is 0.10, it means if underlying changes by one unit the delta changes by 0.10 units .
ii) Gamma of long options is always positive and gamma....

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of short options are always -ve irrespective of call or put.
c) Theta :
I) Theta of long option is always negative and short option is always positive.
ii) If theta is -4, it means, the option price decays by 4/252 = 0.016 per day.
iii) Theta of put is always higher than
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theta of call, ie call options decays more rapidly than put options.
d) Vega :
I) If vega is 12, it means a 1% increase in volatility increases the option value by 0.12 units.
ii) Vega is always positive for long options and negative for short options.
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e) All Greeks are related to each other; how it is related is quite complex ...( just for information)

Theta + (Interest rate X underlying price X delta ) + (0.5 x volatility squared x underlying price squared x gamma ) = interest rate x Value of the option
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Other Greeks are also there but not that sensitive towards option price.