Crypto glossary
Option Greeks (delta, gamma, theta, vega)
Option Greeks are measures such as delta, gamma, theta and vega that show how an option's price reacts to changes in price, time and volatility.
Greeks break an option's risk into separate sensitivities. Delta estimates how much the option moves for a one-dollar change in the underlying and roughly approximates the chance it expires in the money. Gamma measures how fast delta itself changes. Theta is the value lost each day through time decay, and vega is the change in price for a one-point move in implied volatility.
Crypto options platforms such as Deribit display Greeks for every contract, and market makers use them to hedge: a desk that has sold calls with a combined delta of 50 BTC will buy about 50 BTC to stay neutral. Traders also aggregate Greeks across a portfolio to see whether they are exposed mainly to direction, time or volatility.
Greeks come from pricing models like Black-Scholes and are only snapshots. They change as price, time and volatility move, and in fast crypto markets with jumps and weekend gaps the hedge they suggest can be wrong exactly when it matters most.
Example
A call with a delta of 0.40 should gain about 400 dollars if bitcoin rises 1,000 dollars, while a theta of -60 means it loses roughly 60 dollars of value per day if nothing else changes.