Options Greeks are sensitivities derived from an option pricing model. They describe how an option's theoretical value responds to changes in inputs such as the underlying price, time to expiry, implied volatility, and interest rates.
Core Sensitivities
- Delta estimates the option value change for a small move in the underlying price, with other model inputs held constant.
- Gamma estimates how delta changes as the underlying price moves.
- Theta estimates how option value changes as time passes, under the model's assumptions.
- Vega estimates sensitivity to implied volatility.
- Rho estimates sensitivity to interest rates.
The value, sign, and units of each Greek depend on contract terms and the model. These measures approximate local changes. A large market move can make the original estimate less useful because the inputs and sensitivities change.
Example
Suppose an option has a delta of 0.40 under a stated pricing model. A $1 rise in the underlying implies about a $0.40 change in theoretical option value per contract unit, before considering changes in volatility, time, and other inputs. The exchange or data provider may quote Greeks with a different multiplier.
Aggregate Gamma Exposure
Aggregate gamma exposure, or GEX, estimates how options positioning may affect hedging flows under assumptions about who holds each position. Open interest shows outstanding contracts but does not identify each holder's side. GEX therefore depends on data coverage, contract mapping, and positioning assumptions; it does not establish a price target or guarantee a market direction.
Kingfisher's GEX view uses live Deribit options data as its primary input. The interface's coverage and data timestamp define what the view includes. Read Delta, Gamma Exposure, Theta, and Vega, or see the What Is GEX guide. Deribit's introduction to option Greeks describes its displayed sensitivities.