The delta is the option price change if the underlying value moves 1 point.
At the money, options have a delta of 50.
In the money options have a delta > 50.
Out of the money options have a delta < 50
The delta of the call option is positive, and the delta of the put option is negative.
The gamma is the delta of the delta. Meaning the change in the value of the delta with a move of 1 point of the underlying value.
The theta is the daily loss in value of the option’s price towards the expiry date.
The theta is good for sellers of options and bad for buyers of options.
The closer to the expiry, the higher the theta. In other words, the more value the option loses daily.
The option Greek related to the volatility is the vega. The vega measures the sensibility of an option price to changes in volatility. If the vega is 0,25, the premium of the option will increase by 0,25 if the implied volatility increases by 1 percent point, for example, from 22% to 23%. The vega is higher in the at-the-money strikes and the longer-term options.
In practice, it is not that easy to work with the vega because not all options have the same (change in) implied volatility.
The Rho measures the option’s sensitivity to changes in risk-free rate of interest and is expressed as the amount of money an option will lose or gain with a 1% change in interest rates.