The Greeks are the numbers that tell you how your option's price will react to each thing that can happen to it: the stock moving (delta and gamma), time passing (theta), and volatility changing (vega). Think of them as the option's dashboard: four gauges, one position.
An option's premium never moves for one reason at a time. The stock drifts, the clock runs, fear rises and falls, all at once. The Greeks split that tangle into named parts. Delta: how much the option gains per $1 move in the stock. Gamma: how fast delta itself changes as the stock moves. Theta: how much the option loses per day of standing still. Vega: how much it gains per point of implied volatility. None of them is a prediction; each is a sensitivity, valid here and now.
The numbers
Our usual call: stock at $100, $105 strike, 30 days, quoted $3.00 at 43% IV. Its dashboard reads: delta 0.38, gamma 0.031, theta −$0.08 per day, vega $0.11. Per contract that means: a $1 stock move earns about $38, a quiet day costs about $8, and one point of IV is worth about $11.
| Greek | Our call reads | In plain words |
|---|---|---|
| Delta | 0.38 | stock +$1 → option +$0.38 (about $38 per contract) |
| Gamma | 0.031 | after that $1 move, delta itself grows to ~0.41: gains accelerate |
| Theta | −$0.08 / day | a day of nothing costs ~$8 per contract, and the melt speeds up near expiry |
| Vega | $0.11 | each point of implied volatility adds or removes ~$11 per contract |
Cross-check: stock jumps to $101 and the model reprices the call at $3.40. Delta promised $0.38 of that; the extra $0.02 is gamma at work. The dashboard adds up.
Where it bites
Sellers are short gamma, and gamma bites hardest exactly when it matters. For the buyer, gamma means gains accelerate as the move goes their way. Flip the position and the same number means the seller's losses accelerate as the move goes against them. A position that "earns theta" is, by construction, one that bleeds faster and faster in a fast market. The two are the same trade seen from opposite sides.
"Collecting theta" is not income, it is rent for open-ended risk. That $8 a day the seller pockets is payment for carrying delta, gamma and vega risk overnight, every night. When the payment looks free, reread the gamma row.
The Greeks are local. Each one is measured for small changes from right here. After a 15% gap, the delta and theta you memorized this morning describe a position that no longer exists. Dashboards report; they do not promise.
Go feel it
Theta is the one Greek you can watch eat your position in real time: hold a call through a week of nothing in Lesson 4: The Cost of Waiting. Then see what being short gamma feels like from the seller's chair in The Premium Trap.
Related concepts: theta decay · implied volatility · the four payoff shapes