Introduction
Options "Greeks" are sensitivities of the option to various exposures of risk including time decay and volatility. The names are taken from the actual Greek names.
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Greek
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Sensitivity to
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Delta
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Δ
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Change in option premium relative to change in underlying asset price (ie Speed)
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Gamma
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Γ
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Change in option delta relative to change in underlying asset price (ie Acceleration)
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Theta
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Θ
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Change in option premium relative to change in time left to expiration (ie time decay)
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Vega
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Κ
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Change in option premium relative to the change in the asset's volatility (ie historical volatility)
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Rho
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Ρ
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Change in option premium relative to changes in the Risk Free Interest Rate (ie interest rates)
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Zeta
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Ζ
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Percent change in option premium per 1% change in implied volatility (ie implied volatility)
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