The Greeks
The Greeks are just numbers that tell you how your option's price will change when something in the market changes. Each Greek tracks one force acting on your money. Here's what they actually mean for your P/L.
Delta (Δ) — "How Much Do I Participate in the Move?"
Delta tells you how much your option moves for every $1 the stock moves. It's the most intuitive Greek because it directly answers: if the stock goes up a dollar, how much does my option go up?
0.50 delta — Your option moves $0.50 for every $1 the stock moves. That's $50 per contract (since each contract = 100 shares).
0.20 delta — Your option moves $0.20 per $1 stock move. That's $20 per contract. Cheaper to buy, but you participate less in the move.
0.80 delta — Your option moves $0.80 per $1 stock move. That's $80 per contract. Expensive, but you're capturing most of the move.
Higher delta = more expensive option, but more responsive to price changes. Lower delta = cheaper, but it takes a bigger stock move to make money. Our 20-delta entries are cheap but need a solid move to pay off — that's the tradeoff.
For calls, delta is positive (stock up = option up). For puts, delta is negative (stock down = put up).
Gamma (Γ) — "How Fast Is Delta Changing?"
Gamma is acceleration. Delta is your speed, gamma is how fast that speed changes. If delta tells you "you're going 50 mph," gamma tells you "you're speeding up by 5 mph every second."
As the stock moves toward your strike price, gamma makes your delta increase — which means your option starts moving faster and faster with each additional dollar of stock movement. This is the snowball effect that makes big winners possible.
Why it matters: High gamma means big P/L swings on small stock moves. A stock near your strike with high gamma can make (or lose) you serious money quickly. This is especially true close to expiration, when gamma gets very high for at-the-money options.
For our 90-120 DTE trades, gamma is relatively low and stable — which is fine. Gamma becomes your friend if the stock moves toward your strike over time, because your delta (and your profits) accelerate. But since we usually exit before expiration, we don't ride the extreme gamma zone.
Theta (Θ) — "What Am I Losing Every Day Just by Holding?"
Theta is time decay — the amount of value your option loses every single day, just from time passing. As a buyer, theta is your enemy. It's the cost of holding the position.
Example: Theta of -0.05 means you're losing $5 per day per contract just sitting there. That's $5 gone even if the stock doesn't move at all. Over a week, that's $35. Over a month, $150.
Here's the critical thing: theta accelerates hard under 45 DTE. The decay curve is not linear — it's a hockey stick. An option loses way more value per day in its last 30 days than in its first 30 days.
This is exactly why we buy 90-120 days out. At that range, theta is relatively gentle — maybe $3-8 per day per contract. You're paying rent, but it's cheap rent. You have time for the trade to work without the clock eating you alive.
If you hold all the way down to 30 DTE and the trade hasn't moved, theta is now burning much harder. That's your signal to make a decision — take the loss or roll it out.
Vega (ν) — "What Happens if Volatility Changes?"
Vega tells you how much your option's price changes for every 1-percentage-point move in implied volatility (IV). For long options, vega is positive — if IV goes up after you buy, your option gains value. If IV drops, you lose value.
The good scenario: You buy at low IVR (say 15). IV expands to IVR 40 after a market event. Your option gains value from the IV expansion on top of any directional move. Vega is your friend here — you bought cheap and volatility made it more expensive.
The bad scenario: You buy at high IVR (say 70). IV crushes back down to 35. Even if the stock moves your way, vega can wipe out your gains.
Real numbers: Say your option has $33 of vega and IV drops 13 points after earnings. That's $33 × 13 = -$429 loss per contract just from the IV crush — even if the stock doesn't move a penny. This is the #1 danger of buying options at high IVR. It's why the Go Maz screener filters for low IVR first.
This is why buying at low IVR (10-20 range) is so powerful. You're buying when vega is most likely to work FOR you. IV has room to expand, and very little room to crush further. You're buying the option at a volatility discount.
Rho (ρ) — "Interest Rate Sensitivity"
Rho measures how your option changes when interest rates move. For 90-120 DTE options, this is mostly irrelevant. Interest rates don't change enough day-to-day to meaningfully impact your position. You can safely ignore rho for our trading style.
If you ever move into LEAPS (options 6-12+ months out), rho starts to matter a bit more — but that's a bridge to cross later.
Which Greeks Matter Most for Your Style
As a long call/put buyer trading 90-120 DTE, here's how the Greeks rank for you:
1. Delta — Your primary force. This is how you make money. A big stock move in your direction multiplied by your delta = profit. Our 20-delta entries are cheap bets that need a solid directional move.
2. Vega — Your biggest amplifier (or killer). Buying at low IVR means vega is likely working for you. Buying at high IVR means vega is likely working against you. This is why entry timing on IV matters as much as direction.
3. Theta — The enemy you manage. You can't eliminate time decay, but buying 90-120 days out keeps it slow. This is the "rent" you pay for being in the trade. Every day you hold costs money — the trade needs to move enough to overcome theta.
4. Gamma — Your friend near the strike. As the stock approaches your strike, gamma accelerates your delta and your gains snowball. But since we typically exit before expiration, we don't ride extreme gamma. It's a bonus, not a strategy.
5. Rho — Ignore it.
The Takeaway
The Greeks aren't academic theory — they're the forces pulling your money in different directions every day. Delta and vega are your two biggest levers. Theta is the tax you pay for holding. Buy at low IVR so vega works for you, buy enough time so theta doesn't eat you alive, and let delta do its job when the stock moves.