Option Greeks Quick Reference

Every Greek, defined in a single sentence, with a link to the full explainer.

Greeks Quick Reference: This quick reference defines every option Greek in one line: Delta (price sensitivity), Gamma (Delta's change), Theta (time decay), Vega (volatility), Rho (rates), plus the higher-order Greeks Vanna, Charm, Vomma, Color, Speed, Zomma, Veta, Ultima and Lambda.

Greek	One-line definition
Delta Δ	Delta measures how much an option's price is expected to change when the underlying moves by ₹1 — and doubles as a rough probability of the option finishing in-the-money.
Gamma Γ	Gamma measures how fast Delta changes when the underlying moves — it is the acceleration behind an option's directional exposure, and it peaks for at-the-money options close to expiry.
Theta Θ	Theta measures how much value an option loses each day purely from the passage of time — the daily 'rent' an option buyer pays and an option seller collects.
Vega ν	Vega measures how much an option's price changes when implied volatility moves by one percentage point — it is your exposure to the market's expectation of future movement, not to the movement itself.
Rho ρ	Rho measures how much an option's price changes when interest rates move by one percentage point — the least influential Greek for short-dated Indian options, but meaningful for long-dated positions.
Vanna —	Vanna measures how an option's Delta shifts when implied volatility changes — equivalently, how Vega shifts when the underlying moves — a cross-Greek that matters most for skew-sensitive and Delta-hedged positions.
Charm —	Charm measures how much an option's Delta changes as one day passes — the 'Delta decay' that quietly re-shapes your directional exposure over time, especially near expiry.
Vomma —	Vomma measures how much an option's Vega changes when implied volatility moves — the convexity of your volatility exposure, which makes long-Vega positions gain Vega as volatility rises.
Color —	Color measures how much an option's Gamma changes as one day passes — the 'Gamma decay' that reshapes how fast your Delta will move, and it turns explosive for at-the-money options in the final days before a Nifty weekly expiry.
Speed —	Speed measures how much an option's Gamma changes when the underlying moves by ₹1 — the third derivative of price with respect to spot, which tells you how quickly your acceleration (Gamma) itself shifts as Nifty travels.
Ultima —	Ultima measures how much an option's Vomma changes when implied volatility moves — the third-order volatility Greek that captures the curvature of volatility convexity itself, mattering most for out-of-the-money wings in violent volatility regimes.
Lambda λ	Lambda (also called Omega or elasticity) measures the percentage change in an option's price for a 1% change in the underlying — it is the true leverage of an option, telling you how many times harder your money works than buying the index outright.
Zomma —	Zomma measures how much an option's Gamma changes when implied volatility moves — it tells you whether your directional acceleration will be sharper or flatter after India VIX shifts, and matters most to Gamma-hedged books in volatile markets.
Veta —	Veta measures how much an option's Vega decays as one day passes — it tells you how quickly your volatility exposure fades over time, which is why long-dated positions carry volatility risk that weeklies simply do not.

Frequently asked questions

What are all the option Greeks?

The first-order Greeks are Delta, Theta, Vega and Rho; Gamma is the key second-order Greek. Further second- and third-order Greeks include Vanna, Charm, Vomma, Color, Speed, Zomma, Veta, Ultima and Lambda.

What is the fastest way to remember the Greeks?

Delta = direction, Gamma = acceleration, Theta = time, Vega = volatility, Rho = rates. The higher-order Greeks all measure how one of these changes as spot, time or volatility moves.

Last reviewed 7 July 2026. Educational content only — not investment advice.