Option Greeks are statistical variables that play a crucial role in determining the price of an option. These variables reflect market events that can impact the option’s underlying value, directly influencing the price of an option.
There are several Greeks that investors can use to evaluate an option’s price. Delta measures the impact of an immediate change in the price of the underlying value, while Vega indicates the change in volatility. Rho measures the change in interest, which can also impact an option’s price.
This chapter will also explore Theta, another important Greek used to evaluate an option’s price.