The Greeks

Delta,\deltaδ-

The price sensitivity of the option relative to the underlying asset i.e. how much the option price changes when the underlying assets price increases by $1. When buying a call option the delta is positive, when buying a put option the delta is negative.

Theta,\thetaθ

Reflects the options price sensitivity with respect to time i.e. the $ change in the option price given time moved 1 day closer to the expiry.

Gamma,\gammaγ

Reflects the rate of change between the Delta and the underlying asset price i.e. given a $1 change in price the Delta will change by the Gamma.

Vega,\nuν

The price sensitivity of an option with respect to a change in the underlying asset's implied volatility i.e. the $ change in the option given a 1% change in the underlying assets implied volatility.