Delta (δ) | is the option's sensitivity to small movements in the underlying asset price |
Gamma (γ) | is the delta's sensitivity to small movements in the underlying asset price Gamma is identical for call and put options |
Theta (θ) | is the option's sensitivity to a small change in time to maturity. As time to maturity decreases, it is normal to express the theta as minus the partial derivative with respect to time |
Vega | is the option's sensitivity to small movements in the volatility(sigma) of the underlying asset Vega is identical for call and put options (Vega is a star by the way!) |
Rho (ρ) | is the option's sensitivity to a small change in the risk-free interest rate |
Sigma (σ) | is the option's volatility |