Are option Greeks the same in all stock exchanges

Option Greeks - key figures in options trading

Influence of the option Greeks on the option price

Why are these key figures called Greeks? The origin of the Greek option lies in the Black-Scholes formula for calculating option prices. Usually, Greek indicators are used as influencing factors in mathematical treatises. In practical application, these influencing factors were simply referred to as "Greeks" in a holistic and simplistic way.

Every option Greek changes during the term of an option and thereby influences the option price in a certain way. The most important sensitivity metrics for options have proven to be delta, gamma, Theta and Vega excelled. Also Rho and omega are taken into account by some dealers.

The Greek options change among other things at Fluctuations in the price of the underlying (Delta, Gamma), at Passage of time (Theta) and at Changes in implied volatility(Vega). When calculating each one, the other influences are not taken into account.


As the most well-known of the option Greeks, Delta determines how much the option price changes when the price of the underlying asset (e.g. a share) changes by one currency unit. The closeness to money of an option and its distance to the exercise date play a central role. The delta of options ranges between -1 and +1. Call options can be a positive delta from 0 to +1 and put options negative delta assume from 0 to -1. For both call and put options, a delta of 0 means that there is no correlation (mutual relationship) between the option and the underlying. With a delta of 1 for calls and -1 for puts, the option would behave in the same way as the base value: if this changes by 1 euro, the option price also changes by 1 euro.


Gamma specifies how far the delta of an option changes if the price of the underlying asset (e.g. a share) rises or falls by one unit. Gamma is a key figure in options trading that relates directly to another key figure. This gives you a deeper insight into how the delta works. A high gamma increases the delta value of a call if the base value continues to rise, or the delta value of a put if the base value continues to fall, and therefore acts like a leverage on the option price.


Vega specifies how much the option price changes if the volatility of the underlying asset (e.g. a share) rises or falls by one percentage point. This means the fluctuation range of the underlying up to the expiry date of an option. Other aspects are not taken into account. Long calls and long puts have a positive Vega. This means that you benefit from an increase in the implied volatility of the underlying asset. Short calls and short puts have one negative Vega. You benefit from a decrease in the implied volatility of the underlying.


Theta shows how much the option price will decrease per day as the time elapses before it becomes due. Therefore, the theta plays a central role in the analysis of the loss of time value of an option. The theta is shown as a decimal number with a negative sign. This represents the view of an option buyer who owns the option and has to accept a loss of time value. The loss of time value, and thus the theta, increases the most the closer it is to the maturity date of an option.


The rho of an option measures the sensitivity of an option or an option portfolio to a change in the risk-free interest rate. Thus, Rho can also refer to the aggregate risk to risk-free rate changes that exists for a portfolio of options.


The omega is a sensitivity indicator for the analysis of options, which indicates the percentage by which the option price changes if the base value changes by 1 percent.