Derivatives · Core
Option Greeks
Greeks are the sensitivities of option value to spot, vol, time, and rates — the risk report of a non-linear book.
Definition
Delta dV/dS, gamma d²V/dS², vega dV/dσ, theta dV/dt, rho dV/dr, plus vanna and volga. They are model-dependent. A book that is ‘flat delta’ can still be long gamma and short vega.
Why it matters
P&L explain is Greeks × moves. If you cannot attribute, you cannot hedge.
Case
A short-dated short straddle is small delta, huge negative gamma and theta-positive. A quiet day prints money; a jump prints a hole. The Greeks were the warning.
How to read it
Report Greeks in the units you trade (delta dollars, vega per vol point). Then stress the ones the model underprices (jumps).
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