Option Greeks 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.

Option premium

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

Option premium is the price of an options contract on a recognised exchange such as the National Stock Exchange , quoted per unit of the underlying, that the option buyer pays and the option seller receives in full at the trade. It has exactly two parts: intrinsic value, the amount by which the option is already in the money, and time value, everything the buyer pays beyond that for the chance the option gains before expiry.

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 read option Greeks on Kite

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

Option Greeks are sensitivity measures that quantify how an option’s price changes in response to changes in the underlying price, time, implied volatility, and interest rates. Kite displays Greeks in its options chain Greek tab; Sensibull shows net Greeks for multi-leg strategies. This guide explains how to find and interpret each Greek and how to use them to make better trade decisions.

For the options chain navigation itself see How to use the options chain on Kite . For applying Greeks to a full strategy see How to build an options strategy on Sensibull .