Option Greeks

Option Greeks
Option prices can change due to directional price shifts in the underlying asset, changes in the implied volatility, time decay, and even changes in interest rates. Understanding and quantifying an option's sensitivity to these various factors is not only helpful -- it can be the difference between boom and bust. The option "greeks" come from the pricing model (normally the Black-Scholes model) that gives us implied volatility and quantifies these factors. Delta, theta, and vega are the greeks that most option buyers are most concerned with.

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