Options Trading on WebNotes

Delta (options)

Sun, 21 Jun 2026 00:00:00 +0000

Delta is the first-order option Greek that measures how much an option’s premium changes for a one-rupee change in the price of the underlying, holding time, volatility and interest rates constant. Computed from the Black-Scholes-Merton model that Zerodha Kite uses for its Greeks display, call delta ranges from 0 to +1 and put delta from 0 to -1, and the absolute value doubles as the option’s approximate probability of expiring in-the-money. It is the Greek that quantifies directional exposure.

Gamma (options)

Sun, 21 Jun 2026 00:00:00 +0000

Gamma is the second-order option Greek that measures how fast an option’s delta changes when the underlying moves by one rupee, holding time and volatility constant. Where delta tells you the current directional exposure, gamma tells you how quickly that exposure will shift, so a call with delta 0.50 and gamma 0.02 sees its delta rise to about 0.52 after a one-point rise in the underlying. Gamma is always positive for a bought option, peaks for at-the-money strikes, and rises sharply in the final days before expiry.

Moneyness: in-the-money, at-the-money, out-of-the-money

Sun, 21 Jun 2026 00:00:00 +0000

Moneyness is the classification of an option by where the price of the underlying sits relative to the strike, which determines whether the option carries intrinsic value. An option is in-the-money (ITM) when exercising it would yield a positive payoff, at-the-money (ATM) when the underlying is at or nearest the strike, and out-of-the-money (OTM) when exercising would yield nothing. Moneyness sets the split between intrinsic and time value in the premium, maps directly to delta , and, for single-stock options on Indian exchanges, decides whether a contract left to expiry triggers compulsory physical delivery.

Strike selection on the option chain

Sun, 21 Jun 2026 00:00:00 +0000

Strike selection is the choice of which option strike to trade, made by weighing the strike’s delta and its implied probability of expiring in-the-money, its liquidity as shown by open interest and volume, the risk-reward of the position, and the tradeoff between in-the-money, at-the-money and out-of-the-money moneyness . On Zerodha it is done by reading the Kite option chain, which lists every listed strike with its open interest, volume, implied volatility and, in the Greeks tab, its delta and the other Greeks. The strike a trader picks fixes the cost, the leverage, the probability of profit and the risk profile of the whole position.

Theta decay

Sun, 21 Jun 2026 00:00:00 +0000

Theta is the option Greek that measures how much premium an option loses for each calendar day that passes, holding the underlying price and implied volatility constant. It is the daily cost of time. Theta is negative for an option buyer, who watches the premium erode every day, and works in favour of an option writer, who collects that decay; the time value of an option falls to zero at expiry, and theta tracks the pace of that fall. The decay is not steady: it accelerates sharply in the final days of a contract.

Vega (options)

Sun, 21 Jun 2026 00:00:00 +0000

Vega is the option Greek that measures how much an option’s premium changes for a one-point change in implied volatility, holding the underlying price and time to expiry constant. It is the sensitivity of the premium to the market’s expectation of future movement. Vega is positive for every long option, call or put, and negative for every short option; it is largest for at-the-money strikes and for longer-dated contracts, and it is the Greek that governs how an option reacts to a volatility event rather than to a price move.

How to use Sensibull's options strategy builder

Tue, 12 May 2026 00:00:00 +0000

Sensibull ’s strategy builder is a visual tool for constructing, analysing, and placing multi-leg options strategies on NSE index and stock options. The builder assembles the full payoff profile of a strategy, computes the combined Greeks (Delta, Theta, Gamma, Vega), displays margin requirements, and routes the strategy’s orders to Zerodha via Kite Connect . This guide covers the end-to-end workflow from selecting an underlying to placing a completed strategy.

Conflict-of-interest disclosure. This guide is published by WebNotes Editorial Team for informational purposes. WebNotes has no commercial relationship with Sensibull Technologies Private Limited or Zerodha. No affiliate commission is earned from strategy placements or Sensibull subscriptions.