Glossary
The Greeks (Delta, Gamma, Theta)
Variables that measure the sensitivity of an option's price to different factors.
Simple explanation
Delta: How much the option price changes when the stock moves ₹1.
Theta: How much value the option loses every day due to time decay.
Gamma: How fast Delta changes when the stock moves.
Vega: How much the price changes when volatility changes.
Understanding the Greeks is essential if you trade Nifty or Bank Nifty weekly options on NSE. Delta tells you how much skin you have in the game, an at-the-money Nifty Call option typically has a Delta of about 0.5, meaning for every ₹100 Nifty moves up, your option gains ₹50 per unit.
Theta is the silent killer for option buyers in India's weekly expiry system. Every Thursday (weekly expiry day), thousands of Indian traders lose money because they held options that decayed rapidly in the last 1-2 days. Theta accelerates sharply in the final 48 hours before expiry.
Gamma matters most when options are near the strike price (at-the-money). On expiry day, Gamma spikes dramatically, which is why Nifty options can swing from ₹5 to ₹50 and back in minutes. This 'Gamma risk' is what makes expiry-day trading on NSE so volatile and dangerous for beginners.
Most Indian brokers like Zerodha show the Greeks on their option chain page. Before entering any options trade, check the Theta value to understand how much premium you will lose per day just by holding. If Theta is ₹5 on a ₹100 option, you are losing 5% of your premium every single day to time decay alone.
Real-world example
You buy a Nifty 22,000 Call option on NSE with Delta 0.5, Theta -₹8, and Gamma 0.02. Nifty is at 22,000. If Nifty moves up ₹200 to 22,200, your option gains roughly ₹100 (Delta 0.5 × ₹200). But if Nifty stays flat for 3 days, you lose about ₹24 in premium (₹8 Theta × 3 days) even though the stock did not move. This is why many Indian option sellers on Zerodha prefer to sell options and collect Theta, while option buyers need quick, directional moves to profit.
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