Options
Options Greeks
Four sensitivity measures — delta, gamma, theta, and vega — that describe how an option's price responds to changes in underlying price, rate of price change, time, and volatility respectively.
How Draconic reads it
Delta measures how much the option price moves for a one-point move in the underlying. Gamma measures how fast delta changes: the metric that drives market maker hedging behaviour and creates the GEX regime. Theta measures daily time decay: the amount of value an option loses each day through the passage of time alone, which accelerates sharply as expiry approaches and becomes non-linear in the final session of a 0DTE cycle. Vega measures how much the option price changes for a one-percentage-point change in implied volatility: the sensitivity that makes options expensive before events and cheap after them. For multi-dimensional trading analysis, gamma is the most important Greek because it drives the mechanical forces that create invisible price levels.
Worked example
Take an at-the-money NIFTY call with a delta near 0.50: it gains roughly ₹0.50 in value for each ₹1 NIFTY rises, before other effects. Gamma means that delta itself climbs as NIFTY rises and falls as it drops. Theta is the daily bleed — small with weeks to expiry, brutal on the Tuesday of a weekly expiry, and non-linear for a 0DTE option in its final hours. Vega is why the same option is expensive before an RBI policy decision or the budget and cheap once the event passes and implied volatility collapses. (Illustrative, not a recommendation.)
Related terms
Frequently asked
What are the four main option Greeks?
Delta (sensitivity to the underlying's price), gamma (how fast delta changes), theta (daily time decay), and vega (sensitivity to implied volatility). Together they describe how an option's price responds to price, time, and volatility.
Which Greek matters most on expiry day or for 0DTE options?
Theta and gamma dominate near expiry. Time decay accelerates sharply and turns non-linear in the final session, while gamma makes delta swing rapidly around the strike — which is also why market-maker hedging is most violent there.
What is the difference between delta and gamma?
Delta is how much the option moves for a one-point move in the underlying; gamma is how fast that delta changes as the underlying moves. High gamma means delta — and therefore risk — shifts quickly, which is what drives the GEX regime.
How does vega affect options around events?
Vega measures sensitivity to implied volatility. Before events like earnings, RBI policy, or the budget, IV rises and premiums expand; once the event resolves, IV collapses (IV crush) and premiums fall — so a directionally correct trade can still lose money.
Educational only. Not financial advice. Trading involves risk.