An option's premium depends on five things: where the index is, the strike, the time left to expiry, the volatility the market expects, and interest rates. The Greeks tell you how much the premium changes when one of these moves while the others stay put. They are the language every option chain, broker app and risk report uses, so it is worth learning them once, properly.
The Greeks are estimates from a pricing model, not promises. They describe small changes right now; as the index moves and time passes, the Greeks themselves change. Use them to understand a position, not to forecast the market.
The five Greeks at a glance
| Greek | Measures the change in premium for | Typical sign for a bought call | Typical sign for a bought put |
|---|---|---|---|
| Delta | A 1-point move in the index | Positive (0 to 1) | Negative (0 to -1) |
| Gamma | How fast delta itself changes per 1-point move | Positive | Positive |
| Theta | One day passing | Negative | Negative (almost always) |
| Vega | A 1 percentage point change in implied volatility | Positive | Positive |
| Rho | A 1 percentage point change in interest rates | Positive | Negative |
For a seller, every sign flips: a sold call has negative delta, negative gamma, positive theta and negative vega.
One worked example
Say Nifty is at 25,000 and a weekly expiry is 7 calendar days away. Take the 25,000 call (CE). With implied volatility at 14%, the model premium is about ₹209.21 per unit, or ₹13,599 for one lot of 65.
| Greek | Per unit | Per lot | Plain English |
|---|---|---|---|
| Delta | 0.53 | ₹34.42 per index point | If Nifty rises 1 point, the lot gains about ₹34.42 |
| Gamma | 0.00082 | 0.082 delta per 100 points | After a 100-point rise, delta is roughly 0.61 instead of 0.53 |
| Theta | -16.09 | -₹1,046.12 per day | What one day of time costs the buyer, all else equal |
| Vega | 13.77 | ₹895.32 per 1% of IV | If IV goes from 14% to 15%, the lot gains about this much |
| Rho | 2.50 | ₹162.40 per 1% of rates | Small for short-dated options; rarely matters for weekly contracts |
Check it against the model: with Nifty 100 points higher and nothing else changed, the same call is worth about ₹266.23, a gain of ₹57.01 per unit. Delta alone predicted ₹52.95; the extra comes from gamma, because delta grew as the index rose.
About these numbers
All numbers here are illustrative: Nifty "at 25,000", implied volatility 14%, interest rate 6.5%, computed with the Black–Scholes model. They are not current market prices.
Delta: direction
Delta is the Greek most traders look at first. An at-the-money option has a delta near 0.5, a deep in-the-money option close to 1 (or -1 for a put), and a far out-of-the-money option close to 0. In rupees, multiply delta by the lot size: a delta of 0.53 on a 65-unit lot behaves, for small moves, like holding about 34.42 units of the index. Our delta guide goes deeper.
Gamma: how fast delta moves
Gamma is highest for at-the-money options close to expiry. That is why weekly options on expiry day can swing from almost worthless to valuable, and back, within minutes. For a buyer, gamma is helpful: gains accelerate when the move goes your way. For a seller, gamma is the risk: losses accelerate when the move goes against you.
Theta: the cost of time
Theta is what holding the option costs per day if nothing else changes. In the example it is about ₹16.09 per unit per day, or ₹1,046 per lot. The same call with 30 days left has a theta of only about ₹9.01 per unit: decay speeds up as expiry approaches. See our guide on time decay.
Vega: the price of uncertainty
Vega measures sensitivity to implied volatility (IV). In the example a 1-point rise in IV adds about ₹13.77 per unit. Longer-dated options have more vega: the 30-day call's vega is about ₹28.26. This is why an option can lose value even when the index moves your way, if IV falls at the same time, for example after a big scheduled event such as a budget or a policy announcement has passed.
Rho: interest rates
Rho is the least important Greek for most Indian index option traders, because weekly and monthly contracts are too short for rate changes to matter much. It becomes noticeable only for options many months out.
Greeks of a whole position
Greeks add up. If you hold several options on the same index, add their deltas (times quantity, with sells counted as negative) to get the position delta, and the same for the others. Many broker platforms show position Greeks; knowing what they mean tells you, for example, whether a "neutral" position really is neutral, and how much it loses per day if nothing happens.
Greeks are not a forecast
They describe sensitivity, not probability of profit. A position with attractive theta can still lose heavily if the index moves sharply; gamma and vega are how that loss shows up.
Examples use illustrative values, not current market data. This is general education, not investment advice.