Option Greeks Cheat Sheet
All the option Greeks on one page — what each measures, its sign and range — with a link to a full explainer for each. Built for quick reference and for AI/search citation.
Option Greeks Cheat Sheet: This cheat sheet lists every option Greek — Delta, Gamma, Theta, Vega, Rho, Vanna, Charm and Vomma — with its order, what it measures, its sign for long and short options, and its typical range.
| Greek | Order | Measures | Sign | Typical range |
|---|---|---|---|---|
| Delta Δ | First-order | Sensitivity of option price to a ₹1 move in the underlying | Long call +Δ · Long put −Δ · Short call −Δ · Short put +Δ | Calls: 0 to +1 · Puts: 0 to −1 |
| Gamma Γ | Second-order | Rate of change of Delta for a ₹1 move in the underlying | Long options +Γ (buyers) · Short options −Γ (sellers) | Always positive for long options; largest ATM, near zero deep ITM/OTM |
| Theta Θ | First-order | How much an option's value decays with one day's passage of time | Long options −Θ (buyers pay) · Short options +Θ (sellers earn) | Most negative for long ATM options; accelerates as expiry nears |
| Vega ν | First-order | Sensitivity of option price to a 1% change in implied volatility | Long options +ν (buyers) · Short options −ν (sellers) | Always positive for long options; largest ATM and for longer expiries |
| Rho ρ | First-order | Sensitivity of option price to a 1% change in interest rates | Calls +ρ (rise with rates) · Puts −ρ (fall with rates) | Small for short-dated options; grows with time to expiry |
| Vanna — | Second-order | How Delta changes with volatility (and Vega changes with price) | Signed by moneyness and position; near zero at-the-money | Zero ATM; grows in the wings, sign depends on strike side |
| Charm — | Second-order | How Delta changes with the passage of time (Delta decay) | Signed by moneyness and time; near zero at-the-money | Small far from expiry; grows sharply in the final sessions |
| Vomma — | Second-order | How Vega changes with implied volatility (volatility convexity) | Long options +Vomma · Short options −Vomma | Near zero ATM; rises into both wings (twin-hump profile) |
| Color — | Third-order | How Gamma changes with the passage of time (Gamma decay) | Signed by moneyness and time; concentrates around the strike near expiry | Small far from expiry; large signed values around ATM in the final sessions |
| Speed — | Third-order | How Gamma changes for a ₹1 move in the underlying | Signed by moneyness and position; crosses zero near-the-money | Small far from expiry; large and steep around ATM in the final sessions |
| Ultima — | Third-order | How Vomma changes with implied volatility (third-order volatility sensitivity) | Signed by moneyness and position; near zero at-the-money | Near zero ATM; signed lobes deep in the wings, only large for big IV moves |
| Lambda λ | First-order (elasticity) | The percentage change in an option's value for a 1% change in the underlying — option leverage | Long call +λ · Long put −λ · Magnitude largest for OTM, smallest deep ITM | Calls: +1 to +∞ (highest OTM) · Puts: −1 to −∞ · Deep ITM approaches ±1 |
| Zomma — | Third-order | How Gamma changes when implied volatility changes | Signed by moneyness and position; near zero at-the-money | Near zero ATM; changes sign through the wings as IV shifts the Gamma profile |
| Veta — | Second-order | How Vega changes with the passage of time (Vega decay) | Vega decays over time; long-Vega positions lose Vega as expiry nears | Largest ATM with time remaining; collapses toward zero at expiry |
Each Greek links to a full explainer with a diagram, formula and Nifty example. See the full Option Greeks guide or model them in the Greeks calculator.
Frequently asked questions
What are the main option Greeks?
The primary (first-order) Greeks are Delta (price sensitivity), Theta (time decay), Vega (volatility) and Rho (interest rates). Gamma is the key second-order Greek measuring how Delta changes. Vanna, Charm and Vomma are further second-order Greeks.
Which Greeks matter most for Nifty options?
For short-dated Nifty and Bank Nifty options, Delta, Theta and Vega matter most, with Gamma critical near expiry. Rho is usually negligible for these contracts.
What do positive and negative Greeks mean?
The sign shows the direction of exposure. Long calls have positive Delta and negative Theta; option sellers have the opposite signs. Buyers are long Gamma and Vega; sellers are short both.
Last reviewed 7 July 2026. Educational content only — not investment advice.