Option Greeks Cheat Sheet
All the option Greeks on one page — symbol, what each measures, sign and range — with a link to a full explainer for each.
Option Greeks Cheat Sheet: This cheat sheet lists every option Greek — Delta, Gamma, Theta, Vega, Rho, Vanna, Charm and Vomma — with its symbol, order, what it measures, its sign for long and short options, and its typical range.
| Greek | Symbol | Order | Measures | Sign | Typical range |
|---|---|---|---|---|---|
| Delta | Δ | First-order | Sensitivity of option price to a ₹1 move in the underlying | Long call +Δ · Long put −Δ · Short call −Δ · Short put +Δ | Calls: 0 to +1 · Puts: 0 to −1 |
| Gamma | Γ | Second-order | Rate of change of Delta for a ₹1 move in the underlying | Long options +Γ (buyers) · Short options −Γ (sellers) | Always positive for long options; largest ATM, near zero deep ITM/OTM |
| Theta | Θ | First-order | How much an option's value decays with one day's passage of time | Long options −Θ (buyers pay) · Short options +Θ (sellers earn) | Most negative for long ATM options; accelerates as expiry nears |
| Vega | ν | First-order | Sensitivity of option price to a 1% change in implied volatility | Long options +ν (buyers) · Short options −ν (sellers) | Always positive for long options; largest ATM and for longer expiries |
| Rho | ρ | First-order | Sensitivity of option price to a 1% change in interest rates | Calls +ρ (rise with rates) · Puts −ρ (fall with rates) | Small for short-dated options; grows with time to expiry |
| Vanna | — | Second-order | How Delta changes with volatility (and Vega changes with price) | Signed by moneyness and position; near zero at-the-money | Zero ATM; grows in the wings, sign depends on strike side |
| Charm | — | Second-order | How Delta changes with the passage of time (Delta decay) | Signed by moneyness and time; near zero at-the-money | Small far from expiry; grows sharply in the final sessions |
| Vomma | — | Second-order | How Vega changes with implied volatility (volatility convexity) | Long options +Vomma · Short options −Vomma | Near zero ATM; rises into both wings (twin-hump profile) |
Each Greek links to a full explainer with a diagram, formula and Nifty example. See the full Option Greeks guide.
Frequently Asked Questions
What are the main option Greeks?
The primary (first-order) Greeks are Delta (price sensitivity), Theta (time decay), Vega (volatility) and Rho (interest rates). Gamma is a key second-order Greek measuring how Delta changes. Vanna, Charm and Vomma are further second-order Greeks.
Which Greeks matter most for Nifty options?
For short-dated Nifty and Bank Nifty options, Delta, Theta and Vega matter most, with Gamma critical near expiry. Rho is usually negligible for these contracts.
What do positive and negative Greeks mean?
The sign shows the direction of exposure. For example, long calls have positive Delta (gain as price rises) and negative Theta (lose value with time), while option sellers have the opposite signs.
Educational content only — not investment advice. Figures are illustrative; confirm live specifications on the NSE.