The Greeks
Four numbers that tell you how your option will behave. Think of them as a weather forecast for your option.
Every option has 4 key numbers called Greeks:
Delta (Δ)
How much does my option move when Nifty moves?
Theta (Θ)
How much do I lose per day from time passing?
Gamma (Γ)
How fast does Delta change?
Vega (v)
How does volatility affect my option?
You don't need to memorize formulas. Just understand what each number means for your trade.
If Nifty moves up 100 pts, this option gains ~₹53
Slightly ITM — good chance of expiring profitably. Moves meaningfully with Nifty.
This option loses ~₹16.70 per day just from time passing
Extreme time decay! Very close to expiry. Option is melting fast.
How fast Delta changes. High gamma = Delta shifts quickly with price moves
Moderate gamma. Delta will shift noticeably as Nifty moves.
If volatility increases by 1%, this option gains ~₹13.33
High vega. This option is very sensitive to volatility changes.
Theta (time decay) is your biggest enemy as a buyer.
Every day, your option loses value just because time passed. This is like ice cream melting — even if the market doesn't move, your option gets cheaper.
Try this experiment:
- Set the strike to ATM (24,200)
- Set days to expiry to 30 — note the Theta
- Now slide it down to 1 day — watch Theta explode!
This is why buying options close to expiry is risky — time decay accelerates dramatically.
Delta tells you probability. A delta of 0.30 roughly means a 30% chance the option expires ITM. Higher delta = more expensive but more likely to pay off.
- ✓Delta = how much your option moves with the market (and rough probability)
- ✓Theta = daily time decay (always works against buyers)
- ✓Gamma = how fast delta changes (highest for ATM options near expiry)
- ✓Vega = sensitivity to volatility (events like elections/budgets increase vega)