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The Greeks

Greek Sensitivity to
DeltaChange in option price relative to change in underlying asset price (that is, Speed)
GammaChange in option delta relative to change in underlying asset price (that is, Acceleration)
ThetaChange in option price relative to change in time left to expiration (that is, Time Decay)
VegaChange in option price relative to the change in the asset’s volatility (that is, Historical Volatility)
RhoChange in option price relative to changes in the Risk Free Interest Rate (that is, Interest Rates)


A simple summary of the Greeks defines and explains them as follows:


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