 | Delta theoretically projects the P&L caused by movement in the stock price It shows how much your position will theoretically change per unit change in the stock price.
| Delta is largest for deep ITM options, smallest for far OTM options, and near 0.50 for ATM options. Positive delta means position profits when stock price rises, but loses when stock price drops. Negative delta is reverse of that.
Long calls and short puts have positive deltas. Long puts and short calls have negative deltas. | |  | Theta theoretically projects daily Decay P&L (Cost or Compensation for Realized Risk).
| Theta is largest for ATM options, and gets smaller as options goe deeper ITM or further OTM. Positive theta means that decay is generating daily profits. Negative theta means decay is causing daily losses.
Short calls and short puts have positive theta. Long calls and long puts have negative theta. | |
Gamma theoretically projects the amount by which your position's delta will change when the stock price changes by $1.00.
Gamma is largest for ATM options. It gets smaller as the option goes ITM or OTM.
Positive gamma means the rate of profit accelerates as stock price moves in favor of your position, while rate of loss decelerates as stock price moves against your position. Negative gamma is reverse of that.
Long calls and long puts have positive gamma. Short calls and short puts have negative gamma.
|  | Vega theoretically projects Implied Volatility P&L (Cost or Compensation for Changes in Expected Risk) | Vega is defined as the theoretical dollar amount by which your position will change if implied volatility changes by one percentage point. Vega is largest for ATM options, and it gets smaller as the option goes deeper ITM or further OTM.
Positive vega means an increase in IV produces profits and a decrease produces losses. Negative is the reverse of that. Long calls and long puts have positive vega. Short calls and short puts have negative vega.
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