The "Greeks" measure how an option's price reacts to the things that move it — the underlying price, time, and volatility. On a broker screen like thinkorswim they appear as a row of live numbers for each position. Here's what each one means.
Delta is the speedometer of an option: it tells you how much the option's price moves for a $1 move in the underlying. A delta of 0.50 means the option gains about $0.50 when the stock rises $1 (and loses about $0.50 when it falls $1).
It is also read two other ways. As a share-equivalent: a single option with 0.50 delta acts like 50 shares of stock, so at the position level delta is multiplied by contracts × 100 — a position delta of 100 behaves exactly like owning 100 shares. And loosely as a rough probability of finishing in-the-money: a 0.30-delta option is about 30% likely to expire with value.
The curve above shows why the range differs by type. As the stock rises, a call goes from barely responsive (delta near 0, far out-of-the-money) to moving dollar-for-dollar (delta near +1, deep in-the-money). A put mirrors this from 0 down to −1. Delta changes fastest right around the strike — that rate of change is Gamma, the next Greek.
Measures how fast delta itself changes as the underlying moves. High gamma means delta shifts quickly (near-the-money, near expiry). Gamma ≈ 0 means delta is stable — typical of stock or deep-in-the-money positions.
Measures the change in value from the passage of one day ("time decay"). A theta of −0.2258 means the position loses about $0.23 per day, all else equal. Buyers of options pay theta; sellers collect it.
Measures the change in value for a 1-point change in implied volatility. A vega of 0.10 means +$0.10 if IV rises one point. Vega ≈ 0 means the position has no volatility exposure — again, stock-like.
Implied volatility is the market's estimate of how much a stock will move — up or down — over the life of an option, shown as an annualized percentage. It is "implied" because it is not observed directly; it is back-calculated from the option's price. Expensive options imply large expected moves (high IV); cheap options imply small ones (low IV).
| VIX / IV | Expected daily move | Market mood | Share of days* |
|---|---|---|---|
| 10 | ~0.6% | very calm | ~9% |
| 16 | ~1.0% | normal / baseline | ~40% |
| 20 | ~1.3% | mild unease | ~22% |
| 24 | ~1.5% | elevated | ~14% |
| 32 | ~2.0% | stress | ~9% |
| 48 | ~3.0% | high fear | ~4% |
| 64 | ~4.0% | panic | ~1% |
| 80 | ~5.0% | crisis (2008 / 2020 peaks) | <0.5% |
Daily move ≈ VIX ÷ 16. These are one-standard-deviation estimates — actual moves are larger roughly a third of the time.
*Approximate share of daily VIX closes that have fallen in the band around each level since 1990 (rounded). The VIX sits below ~20 most of the time — its long-run median is around 17–18 — and spends only a small fraction of days in the stress-and-above zones, which is why high readings tend to be brief.
Every simple option trade is one of these four. The diagrams show profit/loss at expiry as the underlying moves; the dashed line is the strike, the horizontal line is break-even (zero P&L).
View: bullish — you expect the stock to rise.
Max gain: unlimited (rises with the stock).
Max loss: limited to the premium paid.
You want: a big up-move, soon, before time decay eats the premium.
Greeks: long Delta (+), long Gamma (+), short Theta (−), long Vega (+).
View: bearish-to-neutral — you expect the stock to stay flat or fall.
Max gain: limited to the premium received.
Max loss: unlimited if the stock keeps rising (very risky uncovered).
You want: the stock to stay below the strike so the call expires worthless.
Greeks: short Delta (−), short Gamma (−), long Theta (+), short Vega (−).
View: bearish — you expect the stock to fall (or want protection).
Max gain: large — grows as the stock drops toward zero.
Max loss: limited to the premium paid.
You want: a big down-move, soon; also acts as insurance on shares you own.
Greeks: short Delta (−), long Gamma (+), short Theta (−), long Vega (+).
View: bullish-to-neutral — you expect the stock to stay flat or rise.
Max gain: limited to the premium received.
Max loss: large — grows as the stock falls (you may be assigned the shares).
You want: the stock to stay above the strike so the put expires worthless.
Greeks: long Delta (+), short Gamma (−), long Theta (+), short Vega (−).
Rho measures sensitivity to a 1-percentage-point change in interest rates. It matters most for long-dated options (LEAPS) and is usually small for short-dated trades, which is why many screens hide it.
Educational reference only — not investment advice. Greek values shown are illustrative.