Delta — direction
Delta is how much the option moves for a ₹1 move in the underlying. Calls run 0 to +1, puts 0 to −1. An ATM option has a delta near ±0.5. Delta also approximates the probability the option finishes in the money.
- A 0.30-delta call gains about ₹0.30 when the stock rises ₹1.
- Position delta = sum of leg deltas × quantity; a delta-neutral position doesn't care about small moves.
Gamma — how fast delta changes
Gamma is the change in delta per ₹1 move. It's highest for ATM options close to expiry, which is why expiry-day options can swing violently. Long options are long gamma (moves help you); short options are short gamma.
Theta — time decay
Theta is how much value the option loses per day with everything else unchanged. It accelerates in the final weeks. Option buyers pay theta; option sellers collect it — that's the trade-off against gamma risk.
Vega — volatility
Vega is the price change for a 1-point change in implied volatility. Buying options before events (results, budget) means paying for high IV; after the event IV usually collapses (an 'IV crush'), hurting buyers even if direction was right.
Cheat sheet
| Position | Delta | Gamma | Theta | Vega |
|---|---|---|---|---|
| Long call | + | + | − | + |
| Long put | − | + | − | + |
| Short call | − | − | + | − |
| Short put | + | − | + | − |
How BullStocks calculates them
We use Black-Scholes with each strike's implied volatility from NSE (or one solved from its price), a 6.5% risk-free rate and the time left to the 3:30 pm expiry. Theta is per calendar day; vega is per 1% change in IV.