A practical translation of the greeks into rupees, aimed at traders who want to size positions correctly.
Key takeaways
- Delta tells you how much you make per point of index move.
- Theta is the daily rent buyers pay and sellers collect.
- Vega explains why a position can lose money even when the direction is right.
Delta is the simplest: it is roughly how much the option price changes for a one-point move in the underlying. A 0.40 delta call on a lot of 50 makes about ₹20 per index point. Multiply by your lots and you have your directional exposure in rupees — the number you should actually be sizing against.
Theta is time decay per day. For a buyer it is rent; for a seller it is income. A short strangle collecting ₹90 of theta a day sounds attractive until you notice that one adverse 1.5% move can erase three weeks of it.
Vega measures sensitivity to implied volatility. Buying options into an event when IV is already elevated frequently produces the classic complaint: 'the index moved my way and I still lost money.' The move was priced in; the volatility crush took the premium back.
Gamma ties them together. It is the rate at which delta changes, and it explodes near expiry and near the money. High gamma is why an expiry-day short position that looks safe at 1:00 PM can be unrecoverable by 2:40 PM.
You do not need to compute any of this by hand. You do need to know, before entry, your rupee exposure per point, your daily decay, and what a volatility spike does to the position.
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