Pricing
Pricing & Greeks
Pricing & Greeks explains why an option costs what it costs and how that price changes. Intrinsic and time value, implied volatility and why it collapses after earnings, and the Greeks: delta, gamma, theta, vega and rho, each with worked numbers. The section ends with Black-Scholes itself: the inputs, a full worked calculation, the assumptions, and where the model breaks. This is the part of options that most explains why buyers so often lose even when they guess the direction right.
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Option Greeks Explained: Delta, Gamma, Theta, Vega, and Rho in Plain English
What each option Greek measures, how to read them on a chain, and a worked example showing how delta, gamma, theta, and vega combine to move an option's price.
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Delta Explained: Hedge Ratios, the Probability Shortcut, and Delta Hedging
What option delta measures, why it works as a hedge ratio, why it is only a rough probability of expiring in the money, and how market makers use it to hedge.
Read the explainer →Theta and Time Decay: Why Options Lose Value as Expiry Approaches
What theta measures, why time decay speeds up near expiration, and worked numbers showing how at-the-money, out-of-the-money, and in-the-money options decay day by day.
Read the explainer →Implied Volatility Explained: IV vs Historical Volatility, IV Crush, and the VIX
What implied volatility is, how it differs from historical volatility, why option prices collapse after earnings (IV crush), and how Cboe calculates the VIX.
Read the explainer →Gamma Explained: Why Delta Changes, Gamma Risk Near Expiry, and Dealer Gamma
What option gamma measures, why it spikes for at-the-money options near expiration, the trade-off between gamma and theta, and what 'dealer gamma' means at an explainer level.
Read the explainer →Black-Scholes Explained: Inputs, a Worked Calculation, Put-Call Parity, and Its Limits
How the Black-Scholes model prices an option, step by step with real numbers, what its assumptions are, how put-call parity links calls and puts, and where the model breaks down.
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