Part 1 Support and Resistance

Option Pricing – The Greeks

Option pricing is influenced by several factors such as the underlying price, time to expiry, volatility, and interest rates. These factors are represented by “Greeks,” which measure the sensitivity of an option’s price to different variables:

Delta (Δ): Measures how much the option price changes with a ₹1 move in the underlying asset.

Gamma (Γ): Measures the rate of change of Delta — i.e., how stable Delta is.

Theta (Θ): Measures time decay — how much value the option loses each day as expiry nears.

Vega (ν): Measures sensitivity to volatility — how much the option price changes with changes in market volatility.

Rho (ρ): Measures sensitivity to interest rates.

Understanding these helps traders build strategies that match their risk tolerance and market view.