What the Greeks Measure
Don't let the scary names fool you — the 'Greeks' are just five dials on a dashboard. Each one tells you how your option's price will react to one thing: the market moving, time passing, or fear rising. Like a car dashboard shows speed and fuel, the Greeks show what's driving your option's value right now.
The Greeks sound intimidating but each one answers a simple question: "if X changes by a little, how much does my option price change?" They are sensitivities — nothing more.
Delta — sensitivity to price
Delta is how much the option price moves for a 1-point move in the underlying. A 0.5 delta call gains ₹0.5 per point. Delta also doubles as a rough probability of finishing in-the-money, and tells you your effective directional exposure (a 0.5-delta call behaves like half a futures lot).
Gamma — how delta itself changes
Gamma measures how fast delta changes as the underlying moves. High gamma means your directional exposure shifts quickly — great for buyers near a breakout, dangerous for sellers because losses accelerate. Gamma is highest at-the-money and explodes near expiry.
Theta — the cost of time
Theta is how much value the option loses each calendar day, all else equal. It is negative for buyers (you pay rent on time) and positive for sellers (you collect it). Theta accelerates as expiry approaches — the famous decay curve.
Vega — sensitivity to volatility
Vega is how much the price moves for a 1% change in implied volatility. Buyers are long vega (they profit if IV rises); sellers are short vega. An options position can be right on direction and still lose money if IV collapses — the "IV crush" after an event.
Rho — sensitivity to rates
Rho is the price change per 1% change in interest rates. For the short-dated options most retail traders use, rho is a rounding error — worth knowing exists, rarely worth trading around.