Option Greeks
Greek | Description |
Delta (Δ) | Measures the sensitivity of an option's price to changes in the price of the underlying asset. It represents the expected change in the option price for a $1 increase in the underlying asset's price. |
Gamma(Γ) | Measures the rate of change of Delta in response to changes in the underlying asset's price. It indicates how much Delta will change if the underlying asset's price moves. |
Theta (θ) | Represents the time decay of an option, measuring the rate at which the option’s value decreases as expiration approaches, assuming all other factors remain constant. |
Vega (ν) | Measures the sensitivity of an option’s price to changes in the implied volatility of the underlying asset. Higher Vega means the option price is more affected by volatility changes. |
Rho (P) | Measures the sensitivity of an option’s price to changes in interest rates. A higher Rho indicates that the option's price is more influenced by fluctuations in the risk-free interest rate. |
Option Portfolio Greeks
Portfolio Greek | Formula |
Portfolio Delta | Delta * Number of Contracts * Multiplier |
Portfolio Gamma | Gamma * Number of Contracts * Multiplier |
Portfolio Theta | Vega * Number of Contracts * Multiplier |
Portfolio Vega | Rho * Number of Contracts * Multiplier |
Portfolio Rho | Theta * Number of Contracts * Multiplier |
Greeks Cash
Greek Cash | Formula |
Delta Cash | Delta * Underlying Asset Price * Number of Contracts * Multiplier |
Gamma Cash | Gamma * Number of Contracts * Multiplier * 0.01 * （Underlying Asset Price）^ 2 |
Theta Cash | Theta * Number of Contracts * Multiplier |
Vega Cash | Rho * Number of Contracts * Multiplier |
Implied Volatility
IV | Definition |
IV | Calculate the implied volatility (σ) by inputting the option price, underlying asset price, option strike price, time to expiration, and risk-free interest rate into the Black-Scholes model. |
IV Rank (52 Weeks) | IV Rank (52 Weeks) = (Current IV - 1 Year IV Low) / (1 Year IV High - 1 Year IV Low) |
IV Percentile (52 Weeks) | The percentile rank of the latest IV value within the IV values over the past year. |