The market price of an option reflects the degree of probability the option to be “in the money” at the expiry. The impact of the main factors affecting the market price of the option could be analyzed by the so-called Greeks. These are only theoretical values derived from an option pricing model and are valid only for the moment when they are calculated so we should not rely on them more than that.

Almost the entire Greek alphabet is used to describe the parameters of an option, but the most important are the following letters:

Delta (Δ) – measures the sensitivity of the option price to the price of the underlying asset. Delta is always positive for long positions in call options and short positions in put options, in which case its value is a number between 0 and 1. Logically, delta is negative for long positions in put options and short positions in call options, and then its value is between -1 and 0.

Vega (ν) – measures the changes in the premium of the option price depending on the market volatility. Long positions in call and put options have positive vega, and short - negative.

Theta (Θ) – measures the changes in the premium of the option depending on the passage of time (time decay). Long positions in call and put options have negative theta, while for the short positions it is positive.

Gamma (Γ) – measures the rate of change of delta depending on the price of the underlying asset. Delta of options with a large gamma will change significantly even for small changes in the price of the underlying asset. Long positions in call and put options have a positive gamma, while short positions have negative.