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Master the Options Greeks: Delta, Gamma, Theta, Vega, and Rho. Learn formulas, intuitive explanations, and delta-hedging code.
Options Greeks are partial derivatives of the option pricing formula with respect to state variables (underlying asset price, time to maturity, volatility, interest rates), measuring position risk sensitivities.
Quants and options market makers use Greeks to build delta-neutral portfolios and manage exposure across multi-leg derivative books.
| Greek | Partial Derivative | Measures Sensitivity To |
|---|---|---|
| Delta (Δ) | ∂V / ∂S | Underlying Asset Price |
| Gamma (Γ) | ∂²V / ∂S² | Rate of Change of Delta |
| Theta (Θ) | ∂V / ∂t | Time Decay |
| Vega (ν) | ∂V / ∂σ | Implied Volatility |
| Rho (ρ) | ∂V / ∂r | Interest Rates |
A strategy where long and short positions are combined so total portfolio Delta equals zero, rendering the portfolio immune to small price movements in the underlying asset.