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Overall Greek Relationship


Effect of Variables on Option Greeks


ATM Options
Event Action Delta Gamma Vega Theta
Call Put
Spot Increases Increases Decreases Decreases Decreases Decreases
Strike Increases Decreases Increases Decreases Decreases Decreases
Volatility Increases Increases Decreases Decreases Decreases Increases
Time Increases 0.5 -0.5 Increases Decreases Increases
Interest Increases Increases Decreases Decreases Decreases Call - Increases
Put - Decreases

Overall Relationship at a Glance


  Delta Gamma Vega Theta
Call Buy + + + -
Call Sell - - - +
Put Buy - + + -
Put Sell + - - +
Future Buy + 0 0 0
Future Sell - 0 0 0

Where : + is Positive, - is Negative and 0 is neutral relationsh





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