Option Greeks explained: delta, gamma, theta, vega, and the three most traders skip
The Greeks describe how an option's price reacts when something else changes: the index, time, or implied volatility. Four of them are in every textbook. Three more, charm, zomma and colour, describe how the first ones change, and they matter most in the last days before a weekly expiry. Here are all seven in plain words, with numbers measured on NIFTY options.
The seven Greeks, in one table
| Greek | What it measures | In plain words |
|---|---|---|
| Delta | Change in option price for a 1-point move in the index | An at-the-money call moves about half a point for each point of NIFTY; a put about minus half. |
| Gamma | Change in delta for a 1-point move | How fast delta itself changes. Highest at the money and in the last hours before expiry. |
| Theta | Value lost per day with everything else unchanged | The daily cost of holding an option. It grows sharply as expiry nears. |
| Vega | Change in price for a 1-point change in implied volatility | What a jump or drop in fear does to the premium, even if the index does not move. |
| Charm | Change in delta as time passes | Delta drifts as the clock runs: out-of-the-money options slide toward zero, in-the-money ones toward one. |
| Zomma | Change in gamma when implied volatility changes | When volatility falls, gamma piles up near the money; when it rises, gamma spreads out. |
| Colour | Change in gamma as time passes | How the gamma at a strike is growing or shrinking as expiry approaches. |
Theta, measured: what is left of an at-the-money straddle through the day
We took the NIFTY at-the-money call and put of the nearest weekly expiry at 9:20 and tracked their combined mid-price through the session. The value left at each hour, as a share of the 9:20 value (medians, 29 June to 11 September 2026):
| 10:00 | 12:00 | 14:00 | 15:00 | 15:25 | |
|---|---|---|---|---|---|
| Normal day (42 sessions) | 98.9 % | 96.8 % | 97.7 % | 93.7 % | 93.6 % |
| Expiry day (11 sessions) | 90.5 % | 81.4 % | 75.0 % | 68.7 % | 67.5 % |
On a normal day the pair gave up about 6 % of its value by the close; on expiry day about a third. These are real prices, so they include whatever the index did as well as time decay, and the straddle ended lower on 40 of the 53 sessions. The pattern is the one theta predicts: slow on ordinary days, steep on the last day.
Vega on a real day
On Friday 11 September 2026 the at-the-money implied volatility (the average of the call and the put at the same strike) went from 10.1 % at 10:05 to 11.1 % at 11:20 as NIFTY rallied, sat near 10.2–10.4 % through a sharp dip at 13:41, rose to 11.0 % at the 14:05 breakout, and fell to 9.8 % by the close. Rising prices with rising volatility is traders paying up for upside; a dip with no rise in put volatility is a dip nobody was insuring against.
Gamma on expiry day
Gamma is why the last 30 minutes of a weekly expiry move the way they do. Across 21 NIFTY and SENSEX expiries, 15 of the 42 at-the-money legs doubled at some point in the last half hour. The full measurement is in gamma blast on expiry day.
Two relationships behind our Gamma Terrain
Colour is zomma rescaled. For an option on futures with zero interest rates (the Black-76 model), the rate at which gamma changes with time equals zomma × σ ÷ (2 × T), where σ is the implied volatility and T the time left. So a map of colour across strikes is the map of zomma, reweighted by each strike's volatility: the new information is the rate, not a new shape.
Charm changes sign near the forward. The drift in delta over time is zero where d2 = 0, at a strike just below the futures price (futures × e−σ²T/2, within a few points for a weekly). Strikes above it and below it drift in opposite directions, and right at that point the direction is noise.
Why we average the call and the put. The implied volatility of a call and a put at the same strike often look different in a broker's chain. Most of that gap comes from which futures price each leg was priced against, the basis, not from which way traders are betting. Averaging the two at each strike cancels it.
What the Greeks cannot tell you
- They are outputs of a model, and they are only as good as the implied volatility fed into them.
- They describe sensitivity, not direction. A high gamma says a move will change delta quickly, not which way the move will go.
- Multiplying gamma by open interest shows where hedging could be heavy, but the chain does not say who is long and who is short those options, so the sign of that hedging is unknown.
Quick questions
What are option Greeks?
What does theta mean in options?
What is charm in options?
What is zomma?
What is colour in option Greeks?
Option Greeks kya hote hai?
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