PCR Trading Strategies

How Option Prices Move (Option Greeks)

Option premiums move because of time, volatility, and market direction. The Greeks explain this movement.

1. Delta – Direction Sensitivity

Delta shows how much premium changes with a ₹1 move in the underlying.

Call delta: +0.3 to +1.0

Put delta: –0.3 to –1.0

Higher delta = faster premium movement.

2. Theta – Time Decay

Theta is the killer for option buyers.
As time passes, the premium loses value.

Sellers benefit from theta

Buyers suffer from theta

3. Vega – Volatility Impact

Higher volatility = higher option premiums.
Lower volatility = cheaper premiums.

4. Gamma – Acceleration of Delta

Gamma shows how fast delta changes.
Fast markets increase gamma dramatically.