The Greeks measure how an option’s premium responds to change: in Nifty, in time and in volatility. Each one is a rate, the amount the premium moves for one unit of change, all else held equal.
| Greek | Measures | Call | Put |
|---|---|---|---|
| Delta | Premium change for a 1-point move in Nifty | 0.50 | −0.50 |
| Gamma | Delta change for a 1-point move | 0.0012 | 0.0012 |
| Theta | Premium change as one day passes | −₹18.65 | −₹14.17 |
| Vega | Premium change for a 1 percentage point rise in IV | ₹10.52 | ₹10.52 |
Delta
Calls have a delta between 0 and 1 and puts between −1 and 0. At the money it sits near 0.5 either way; deep in the money it approaches 1 (or −1), and far out of the money it approaches 0. In the sample, the 25,000 call has a delta of 0.72 and the 25,400 call 0.27. Delta is also used as a rough gauge of how likely an option is to finish in the money.
Gamma
Gamma is how fast delta changes. It is largest at the money and grows as expiry nears, which is why at-the-money premiums swing hardest in the last days. For the sample ATM call, a 100-point rise in Nifty would lift delta by about 0.12, to roughly 0.62.
Theta
Theta is time decay per day. For an option buyer it is a cost: with everything else unchanged, the sample ATM call loses about ₹18.65 of premium a day and the put about ₹14.17. Decay speeds up as expiry approaches.
Vega
Vega is the change in premium for a one percentage point change in implied volatility. The sample ATM options would each gain about ₹10.52 if IV rose from 12.5% to 13.5%.
The Greeks across strikes
| Call | Delta | Gamma | Theta | Vega |
|---|---|---|---|---|
| 25,000 | 0.72 | 0.0010 | −₹17.44 | ₹8.83 |
| 25,200 | 0.50 | 0.0012 | −₹18.65 | ₹10.52 |
| 25,400 | 0.27 | 0.0010 | −₹14.59 | ₹8.71 |
Delta falls steadily as the strike moves up. Gamma, theta and vega all peak at the money and shrink on either side, because that is where the option’s value is most uncertain. Puts at the same strike share the call’s gamma and vega; their delta is the call’s delta minus one.
Putting them together
Suppose Nifty rises 50 points over the next day and IV stays where it is. For the sample 25,200 call, delta adds about 0.50 × 50 = ₹25.00, gamma adds about ½ × 0.0012 × 50² = ₹1.50 more, and theta takes away about ₹18.65. The net change is roughly +₹7.85. Pricing the option again with the same model, at 25,230 with one day less to expiry, gives +₹6.58. The two differ because the Greeks themselves change over the day and the move: they describe the moment, not the whole path.
Where the numbers come from
These Greeks come from the Black-Scholes model with the sample’s IV, 4 days to expiry and a 6.5% interest rate. Broker platforms use similar models, so their figures are close but rarely identical. How much of a premium each Greek acts on depends on moneyness.
Related lessons
- Implied volatility (IV) in the option chain
- ITM, ATM and OTM strikes in the option chain
- Open interest (OI) in the option chain
Open the sample chain to select any number and read what it means.
Educational content, not investment advice. Every figure here comes from a synthetic sample chain, not live prices. See the terms of use.