What are option greek in derivative market. How to Understand Option Greeks /Option Greeks Explained. Option Greeks Option premiums change with changes in the factors that determine option pricing i.e. factors such as strike price, volatility, term to maturity etc. The sensitivities most commonly tracked in the market are known collectively as “Greeks” represented by Delta, Gamma, Theta, Vega and Rho. 1) Delta (δ or ∆) The most important of the ‘Greeks’ is the option’s “Delta”. This measures the sensitivity of the option value to a given small change in the price of the underlying asset. It may also be seen as the speed with which an option moves with respect to price of the underlying asset. Delta = Change in option premium/ Unit change in price of the underlying asset . Delta for call option buyer is...
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