The core Greeks
| Greek | What it measures | Trader use |
|---|---|---|
| Delta | Approximate price change for a one-unit spot move | Directional exposure and delta hedging |
| Gamma | How delta changes as spot moves | Convexity and hedge instability |
| Vega | Sensitivity to implied volatility | Volatility exposure per vol move |
| Theta | Time decay under the model | Carry and passage-of-time effects |
| Rho | Sensitivity to interest-rate changes | Usually smaller in short crypto maturities, but still model-dependent |
Greeks depend on inputs
Greeks change with spot, strike, expiry, implied volatility, rate convention, and whether the option is a call or put. Near expiry or far from the money, small input changes can create large numerical differences. Always inspect the quote quality and solver status beside the Greek.
Why vega and gamma matter together
A long option can carry positive gamma and positive vega, but the exposure changes as spot moves and time passes. A trader studying a volatility surface should therefore ask both how IV may move and how the position's vega is distributed across expiry and delta buckets.
Practical workflow: inspect the chain, compare IV by delta, check liquidity, then use Greeks and scenarios to understand how a surface move could affect a position.
IVExplorer implementation
IVExplorer calculates Black-Scholes prices and Greeks in browser-side WebAssembly. The live terminal shows the values beside the option chain and ATM smile, while the educational views explain the assumptions behind them.