Options Greeks, Explained

Delta (Δ)

How much the option's price moves for a $1 move in the underlying stock. A 0.30 delta call gains roughly $0.30 when the stock rises $1.

Delta doubles as a rough probability of finishing in the money. A 0.30-delta option has roughly a 30% chance of ending ITM at expiration. Wheel traders often target 0.20 to 0.30 delta for CSPs, which is about a 70 to 80% chance of expiring worthless.

Gamma (Γ)

How fast delta itself changes. High gamma near expiration means small moves in the stock swing your delta wildly. This is why short options close to expiration feel whippy and get harder to manage.

Theta (Θ)

Dollars per day of time-value decay. For an option buyer, theta is a headwind. The position loses value every day. For an option seller (CSP or CC writer), theta is a tailwind. Every day the stock doesn't move hard is money in the bank.

Vega (V)

How much the option's value moves per 1-percentage-point change in implied volatility. Short options benefit when IV drops; long options benefit when IV rises. Sellers hate volatile markets. Buyers love them.

Note on signs: brokers display greeks from the option contract's perspective. In Spoke we flip signs to the trader's perspective automatically, so a CSP writer sees positive theta (income) instead of the raw negative number.

Theta-per-day estimator

A back-of-envelope: how much time value is baked into your position per day of holding? Actual decay accelerates as expiration nears, but this linear estimate is a fine starting point.

If you sold the option, this is dollars per day earning back to you (all else equal). If you bought it, this is dollars per day bleeding away. Which is the case against holding long options far from expiration on flat markets.