Options cheatsheet
Options Greeks Cheat Sheet
Implied Volatility (IV)
What it is: The market's expectation of how much the stock price will move over the next year, expressed as a percentage.
| Value | What it means |
|---|---|
| 0–20% | Low volatility — stock expected to be calm |
| 20–50% | Normal range for most stocks |
| 50–80% | High volatility — big moves expected |
| 80%+ | Extreme volatility — options are expensive |
Your WD put: IV = 93% → Market expects massive swings. Options are pricey.
Delta (Δ)
What it is: How much the option's price moves when the stock moves $1.
| Value | What it means |
|---|---|
| 0.00 to +1.00 | Calls — rises when stock rises |
| 0.00 to −1.00 | Puts — falls when stock rises |
| ±0.50 | Roughly 50/50 chance of expiring in the money |
| ±0.80–1.00 | Deep in the money — moves almost like the stock |
| ±0.01–0.10 | Far out of the money — very unlikely to profit |
Your WD put: Delta = −0.0805 → For every $1 WD rises, your put loses ~$0.08. For every $1 WD falls, your put gains ~$0.08.
Gamma (Γ)
What it is: How much delta itself changes when the stock moves $1. Think of it as delta's sensitivity.
| Value | What it means |
|---|---|
| High (0.05+) | Delta changes rapidly — option is very sensitive to price moves |
| Low (0.001–0.005) | Delta barely changes with price moves |
| Near expiration | Gamma spikes dramatically |
Your WD put: Gamma = 0.0002 → If WD drops $1, delta moves from −0.0805 to about −0.0807. Very small — you're far out of the money.
Theta (Θ)
What it is: How much value the option loses each day just from time passing, assuming the stock price stays flat. Always negative for buyers.
| Value | What it means |
|---|---|
| −0.01 to −0.05 | Slow decay — often far from expiration |
| −0.05 to −0.20 | Moderate decay |
| −0.20+ | Fast decay — usually near expiration or high IV |
Your WD put: Theta = −0.1049 → You lose ~$10.49 per day (×100 shares per contract) just from time passing. Over 30 days = ~$314 lost to time decay alone.
Vega (ν)
What it is: How much the option's price changes when IV moves 1%.
| Value | What it means |
|---|---|
| High (0.50+) | Very sensitive to volatility changes |
| Low (0.01–0.10) | Less affected by volatility shifts |
| Long options | You benefit when IV rises |
| Short options | You benefit when IV falls |
Example: If your option has a Vega of 0.30 and IV jumps from 93% to 94%, the option gains $0.30 in value (×100 = $30 per contract).
Rho (ρ)
What it is: How much the option's price changes when interest rates move 1%. Usually the least important Greek for short-term traders.
| Value | What it means |
|---|---|
| Positive (calls) | Rising rates slightly increase call value |
| Negative (puts) | Rising rates slightly decrease put value |
| Near zero | Short-dated options barely affected |
Quick Reference: Your WD Put ($300 Strike, Jan 2028)
| Greek | Your Value | Plain English |
|---|---|---|
| IV | 93% | Market expects huge moves — option is expensive |
| Delta | −0.0805 | Gains ~$8 per contract for every $1 WD falls |
| Gamma | 0.0002 | Delta barely changes — you're far out of the money |
| Theta | −0.1049 | Loses ~$10.49/day per contract from time alone |
| Contract cost | $6,200 | $62 quote × 100 shares |
Key Concepts to Remember
- One contract = 100 shares. Always multiply the quoted price by 100 to get your actual cost.
- Out of the money (OTM): The stock price hasn't reached your strike yet. For puts, this means the stock is above your strike price.
- In the money (ITM): Your option has intrinsic value. For puts, this means the stock is below your strike.
- Time decay accelerates as expiration approaches — the last 30 days are the fastest decay period.
- IV crush: After major news events (earnings, etc.), IV often drops sharply, taking option prices with it even if the stock moves in your favour.