The Greeks and key terms, in plain English with real numbers
Every definition here uses the same running example as the calculator, a $105 call on a $100 stock at 45% implied volatility with 30 days to expiry, so the Greeks connect to one concrete position instead of floating in the abstract. Each page links straight into the calculator with that scenario loaded.
The Greeks
Deltahow much an option's price moves per $1 move in the stock
Gammahow fast delta itself changes as the stock moves
Thetathe value an option loses each day from time passing
Vegahow much an option's price changes when implied volatility moves 1 point
Rhohow much an option's price changes when interest rates move 1 point
Key terms
Implied volatilitythe market's estimate of future movement, baked into an option's price
Extrinsic valuethe part of an option's price above its intrinsic value, all time and volatility
Moneynesswhere the stock sits relative to the strike: in, at, or out of the money
Expected movethe plus-or-minus one standard deviation range the options market implies by expiry