Greeks cheatsheet
The five Greeks on one page: what each measures, its units in BOSS, its sign for the basic positions and for common strategies, and the rules of thumb traders use. Print it or save it as a PDF.
The Greeks
| Greek | Measures | In BOSS | Long call | Long put |
|---|---|---|---|---|
| Delta | Change in value for a $1 move in the underlying | $ per $1, per contract | + (0 to 1) | − (−1 to 0) |
| Gamma | Change in delta for a $1 move | delta per $1 | + | + |
| Vega | Change in value for one point of implied volatility | $ per vol point | + | + |
| Theta | Change in value as one day passes | $ per day | − | − |
| Rho | Change in value for one point of interest rate | $ per rate point (Deribit only) | + | − |
A sold option has the opposite sign of a bought one. A structure's Greeks are its legs' Greeks, times ratio and direction, added up.
Common strategies
| Strategy | Delta | Gamma | Vega | Theta |
|---|---|---|---|---|
| Long call | + | + | + | − |
| Long put | − | + | + | − |
| Covered call | + | − | − | + |
| Long straddle | ≈ 0 | + | + | − |
| Short iron condor | ≈ 0 | − | − | + |
| Bull call spread | + | depends on the strikes | depends on the strikes | depends on the strikes |
"≈ 0" holds when the structure is centered on the current price; it drifts as the price moves. Every strategy page shows the live figures.
Rules of thumb
- Delta is often read as a rough chance of the option ending in the money. It is a sensitivity, not a probability, but the two are close for short-dated options.
- Gamma and theta are two sides of one trade: a position that gains from movement (long gamma) pays for it with time decay (negative theta), and the reverse.
- Gamma is largest at the money and close to expiry; so is theta.
- Vega is largest for at-the-money options with a lot of time left.
- Greeks are local: they describe small moves right now and change as the price, volatility and time change.
Right now: at-the-money options
The Greeks Deribit reports for the at-the-money call and put of the first expiry at least a week out, per contract, in dollars.
Last reviewed: · Source: BOSS