Delta: It measures the sensitivity of the value of portfolio to changes in the price of the underlying.

c

S
Gamma: It measures the sensitivity of the delta of the portfolio to changes in the price of underlying. It is a
seconder order sensitivity.
 2
 2
S = 𝜕Δ
𝜕𝑆
Vega: It measures the sensitivity of the value of portfolio to changes in the volatility of the underlying.



Theta: It measures the sensitivity of the value of portfolio to changes in time. It can also be referred to as the
time decay on the value of an option.
𝜕Π
𝜃= 𝜕𝑇

Rho: It measures the sensitivity of the value of portfolio to the interest rate.


r