Options Greeks Cheat Sheet
Delta (Δ)
Rate of price change per $1 move in underlying
| Value | Position | Meaning |
|---|---|---|
| +0.01 to +1.00 | Long calls, short puts | Profits when stock rises |
| -1.00 to -0.01 | Long puts, short calls | Profits when stock falls |
| ±0.50 | At-the-money | Moves ~$50 per $100 stock move |
| ±0.20 | Far out-of-money | Low probability of expiring ITM |
| ±0.80 | Deep in-the-money | High probability of expiring ITM |
Portfolio delta = sum of all deltas (e.g., +500 = bullish bias)
Theta (Θ)
Daily time decay in dollars
| Value | Position | Meaning |
|---|---|---|
| Positive | Net option seller | Collects time decay daily |
| Negative | Net option buyer | Loses value daily |
| Near zero | Far from expiration | Minimal time decay |
| Large negative | Near expiration + long | Rapid value loss |
Accelerates in final 30-45 days. Weekends = 3 days of decay
Gamma (Γ)
Rate of delta change per $1 move
| Value | Position | Meaning |
|---|---|---|
| Positive | Long options | Delta increases favorably |
| Negative | Short options | Delta moves against you |
| High | ATM + near expiration | Delta changes rapidly |
| Low | Deep ITM/OTM or far dated | Delta stable |
Short gamma = “pennies in front of steamroller” risk
Vega (V)
Price change per 1% IV move
| Value | Position | Meaning |
|---|---|---|
| Positive | Long options | Profits from rising volatility |
| Negative | Short options | Profits from falling volatility |
| High | ATM + 30-45 DTE | Most IV sensitive |
| Low | Deep ITM/OTM or <7 DTE | Less IV sensitive |
Volatility typically mean-reverts. Check IV percentile
Rho (ρ)
Price change per 1% interest rate move
| Value | Position | Meaning |
|---|---|---|
| Positive | Long calls, short puts | Benefits from rising rates |
| Negative | Long puts, short calls | Benefits from falling rates |
| Negligible | <60 DTE options | Rarely significant |
| Material | LEAPS (>1 year) | Consider rate environment |
Usually least important Greek for short-term trading
Quick Position Diagnosis
Bullish Positions
- Delta: Positive
- Examples: Long calls, short puts, bull spreads
Bearish Positions
- Delta: Negative
- Examples: Long puts, short calls, bear spreads
Premium Collectors
- Theta: Positive
- Gamma: Negative
- Vega: Negative
- Examples: Covered calls, credit spreads, iron condors
Volatility Buyers
- Theta: Negative
- Gamma: Positive
- Vega: Positive
- Examples: Long straddles, long strangles
Market Neutral
- Delta: Near zero
- Examples: Iron condors, calendar spreads, delta-hedged positions
Key Relationships
- Delta + Gamma: Gamma amplifies delta moves
- Theta + Vega: Often inversely related (sellers vs buyers)
- Time + Volatility: Both decay accelerate near expiration
- Strike Selection: ATM = highest theta and vega; ITM = highest delta; OTM = highest gamma risk
Risk Rule: Never let one Greek dominate your portfolio
Tags: Options, Greeks, Trading, Reference