🎯 In 30 seconds: The Greeks are estimates from a pricing model. Delta: how much the option moves for a 1-point move in the underlying. Gamma: how fast delta itself changes. Theta: how much value the option loses per day if nothing else changes. Vega: how much it moves for a 1-point change in implied volatility. Rho: how much it moves for a 1% change in interest rates. Multiply each by the lot size to get rupees. For a hypothetical one-week ATM Nifty call (lot 65), delta is worth about ₹34 per Nifty point, theta costs about ₹1,000 a day, and vega is about ₹860 per volatility point. On expiry day, gamma and theta become very large.
Why options need their own dashboard
A car's speedometer tells you how fast you are going. The tachometer tells you how hard the engine is working. The fuel gauge tells you how long you can keep going. You need all three to drive well, and none of them is the car itself.
An option's price depends on five things at once: the underlying's price, time to expiry, implied volatility, interest rates and (for stocks) expected dividends. The Greeks are the gauges for those inputs. Each one answers a question: "if this one thing changes a little, and nothing else does, how much does my option price change?"
Two cautions up front. First, the Greeks come from a model, usually Black-Scholes, which NSE itself uses to set the base price of new option contracts. Real prices do not follow the model exactly. Second, each Greek holds everything else fixed, which never happens in a real market. Use them as estimates, not promises.
One option, all five Greeks
Hypothetical: Nifty at 24,000. A 24,000 call (ATM) with 7 days to expiry. Implied volatility 14%. Interest rate assumed at 6%. Lot size 65 (the Nifty lot as of October 2026, per NSE's circular of 3 October 2025). Model price: 200 points, or ₹13,000 per lot.
| Greek | Per unit (points) | Per lot of 65 | Plain meaning |
|---|---|---|---|
| Delta | 0.53 | about ₹34 per Nifty point | Nifty up 100 points, call up about 53 points (₹3,430) |
| Gamma | 0.0009 | delta rises about 0.09 per 100 Nifty points | After a 100-point rise, delta is about 0.61 |
| Theta | -15.8 per day | about -₹1,026 per day | One day passes, nothing else changes, call loses about 16 points |
| Vega | 13.2 per volatility point | about ₹860 | IV from 14% to 15%, call up about 13 points |
| Rho | 2.4 per 1% rate change | about ₹156 | Rates up 1%, call up about 2 points |
The matching 24,000 put has delta -0.47, the same gamma and vega, theta of about -11.8 points a day and rho of about -2.2. Your broker's option chain or strategy screen may show Greeks; they will differ a little from these because each platform uses its own inputs.
Delta: the price sensitivity
Delta is the change in the option price for a 1-point change in the underlying.
- Calls have delta between 0 and 1. Deep ITM calls are near 1, ATM calls near 0.5, far OTM calls near 0.
- Puts have delta between -1 and 0. They gain when the underlying falls.
In rupees, delta times lot size tells you how much one lot gains or loses per point. For the ATM call: 0.53 x 65 = 34.45, so about ₹34 per Nifty point. For comparison, one Nifty futures lot moves ₹65 per point, because a future has a delta of 1. So this one call behaves, for small moves, like about half a futures lot.
Delta across strikes, same Nifty, same week:
| Call strike | 23,600 | 23,800 | 24,000 | 24,200 | 24,400 |
|---|---|---|---|---|---|
| Delta | 0.83 | 0.69 | 0.53 | 0.36 | 0.22 |
| ₹ per Nifty point, per lot | ₹54 | ₹45 | ₹34 | ₹23 | ₹14 |
Delta as a rough probability
Traders often read a call's delta as a loose estimate of the chance it ends in the money: the 24,400 call with delta 0.22 has "about a 22% chance". That reading is close enough for a quick sense of the odds, but it is not exact, and it depends on the model's assumption that moves are smooth and normally sized. Real markets have gaps at 9:15 am and event days with jumps. Treat delta-as-probability as a rough guide, not a forecast.
Gamma: how fast delta changes
Gamma is the change in delta for a 1-point move in the underlying. Our call has gamma of 0.0009. If the Nifty rises 100 points, delta goes from 0.53 to about 0.61. The option is speeding up as it moves into the money.
Gamma is largest at the money and grows sharply as expiry approaches. In the same model, the ATM call's gamma is about 0.0004 with 30 days left, 0.0009 with 7 days, and 0.0023 with 1 day.
What high gamma means in practice: with one day left, a move from 23,900 to 24,100 swings this call's delta from about 0.29 to about 0.72. The option goes from barely moving to moving almost point for point with the Nifty. For a buyer, that is the lottery-ticket effect of expiry day. For a seller, it means losses can accelerate quickly, which is why SEBI added an extra 2% extreme loss margin on short options on their expiry day from 20 November 2024.
Theta: the daily cost of time
Theta is the change in option price for one day passing, with nothing else changing. It is negative for bought options: time costs the buyer and pays the seller.
- 30 days left: ATM call theta about -8.5 points a day (₹553 per lot).
- 7 days left: about -15.8 points a day (₹1,026 per lot).
- 2 days left: about -31 points a day (₹2,020 per lot).
Theta accelerates into expiry, which is the curve in What an option is worth. A buyer of a weekly ATM option needs the Nifty to move enough each day to beat theta. A seller is collecting theta and betting the move will be smaller.
Vega: sensitivity to volatility
Vega is the change in option price for a 1-point change in implied volatility (IV), for example from 14% to 15%. Our call's vega is 13.2 points, about ₹860 per lot.
Vega is largest for ATM options and for longer-dated options: about 27 points for the 30-day ATM call, 13 for the 7-day and 5 for the 1-day. Calls and puts at the same strike and expiry have the same vega.
Vega explains a common surprise. Before a big scheduled event, such as RBI policy, the Union Budget, or a company's results, IV usually rises because the market expects a move. Afterwards it often drops sharply. A buyer can be right on direction and still lose because the fall in IV took away more than the move added. That is IV crush.
Rho: sensitivity to interest rates
Rho is the change in option price for a 1 percentage point change in the interest rate. For short-dated options it is small: about 2.4 points for our weekly call, or ₹156 per lot. Higher rates make calls slightly more valuable and puts slightly less. Rho matters more for long-dated options such as the Nifty's half-yearly contracts. RBI repo rate changes rarely move weekly option prices through rho; they move them through the Nifty's reaction and through IV.
Putting it together: a one-day estimate
Suppose one day passes, the Nifty rises 100 points to 24,100, and IV slips from 14% to 13%. Estimate the change in our call:
- Delta: 0.53 x 100 = +53 points
- Gamma adjustment: 0.5 x 0.0009 x 100 x 100 = +4.5 points (delta grew during the move)
- Theta: one day = -15.8 points
- Vega: -1 point of IV x 13.2 = -13.2 points
- Total: about +28.5 points, or about +₹1,850 per lot
Re-pricing the option with the model directly gives about +29.6 points. The estimate is close because the changes were small. For large moves, gamma and changing vega make simple sums less accurate.
Notice what happened: a 100-point rise in the Nifty, worth 53 points on delta alone, delivered barely half of that once time and volatility took their share. That is the everyday experience of option buyers.
Try it
Open a free Black-Scholes calculator (many broker websites offer one) or build one in a spreadsheet using the formula NSE publishes on its Nifty options contract page. Enter: Nifty level from today, ATM strike, days to the next weekly expiry, an IV from the option chain, and an interest rate of 6%. Note delta, gamma, theta and vega. Multiply each by the current lot size. Next day, write down the actual change in the option's price and compare it with your estimate from the Greeks. Do this for five days and note where the estimate was furthest off, and why.
- A Nifty call has delta 0.4 and the lot size is 65. Roughly how much does one lot gain if the Nifty rises 50 points? Answer: 0.4 x 50 = 20 points, x 65 = ₹1,300.
- Why does an ATM option's gamma rise as expiry approaches? Answer: With little time left, small moves decide whether it ends in or out of the money, so delta swings quickly between near 0 and near 1.
- An option has theta of -15.8 points. What does that cost a buyer of one Nifty lot per day, all else equal? Answer: 15.8 x 65 = about ₹1,027.
- You buy a call before RBI policy day. The Nifty rises a little, but IV falls 4 points. Vega is 13. What does the IV change alone cost per unit? Answer: About 52 points, which can outweigh a small gain from delta.
- Are the Greeks exact? Answer: No. They are model estimates that hold other inputs fixed. They work best for small changes.