Option Greeks
The option Greeks are measures, named after Greek letters, that describe how an option's price reacts to changes in the stock price, time, volatility and interest rates.
Delta shows how much an option's price changes for a $1 move in the underlying stock. A call with a delta of 0.60 should gain about $0.60 per share if the stock rises $1. Delta is also loosely used as an estimate of the probability that an option expires in the money.
Gamma measures how fast delta itself changes as the stock moves. Theta measures time decay: how much value the option loses each day, all else equal. Vega measures sensitivity to a one-point change in implied volatility. Rho measures sensitivity to interest rates and is usually the least important for short-dated options.
Traders use the Greeks to understand and manage risk, for example by keeping a portfolio delta-neutral or by selling options to collect theta.
Example: a call priced at $3.00 has a theta of -0.05 and a vega of 0.10. If one day passes with nothing else changing, it would be worth about $2.95. If implied volatility instead rises by one point, it would be worth about $3.10.