First Order Greeks

Subgroup of option Greeks.

Includes the Greeks which are first derivatives of option price: delta, theta, vega, rho.

Excludes gamma, which is a second order Greek, and other higher order Greeks.

See Option Greeks Tutorial and how to calculate Greeks in Excel.

List of First Order Greeks

Delta = Measure of sensitivity of option price to small changes in underlying price. Sometimes also used as proxy for the probability of expiring in the money.

Rho = Sensitivity of option price to small changes in interest rate.

Theta = Sensitivity of option price to passage of time (small changes in time to expiration). Measure of time decay.

Vega = Also kappa. Measures sensitivity of option price to small changes in volatility.

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