Exploring the Greeks of an options strategy

The Greeks of an options strategy change throughout its lifetime. Evaluating these changes helps you understand how risk evolves over time, not just at entry, but throughout the life of the trade.

GammaWins Calculator provides multiple ways to analyze strategy-level Greeks. You can view the net Greeks of a position and see how they change across different underlying prices, time horizons, and implied volatility levels.

Net Greeks

After defining a strategy, the net Greeks of the position are shown in the Result section. By default, delta, gamma, theta, and vega are displayed. Rho is hidden initially, but can be enabled by editing the set of visible metrics. You can choose which Greeks are visible, allowing you to view any combination that is relevant to your analysis.

Net Greeks in GammaWins Calculator

Charting the Greeks

With the X-axis set to price and the relevant Greeks enabled, the chart shows how those Greeks vary across different underlying price levels at a specific point in time. P/L and value lines can be hidden if the focus is solely on Greek exposure.

Delta, Theta and Vega of a strategy for different prices of the underlying

Delta, Theta and Vega of a strategy for different prices of the underlying

If the X-axis is set to time, the chart shows how the net Greeks of the strategy evolve as the position approaches expiry, assuming a fixed underlying price. This is particularly helpful for visualizing theta decay.

Theta and Vega of a strategy over its lifetime

Theta and Vega of a strategy over its lifetime

Evaluating Greeks across volatility levels

The implied volatility slider allows the same Greek charts to be viewed under different volatility assumptions. Because changes in implied volatility can materially alter a strategy’s risk profile, evaluating Greeks across a range of typical IV levels helps surface sensitivities that may not be visible at a single volatility point.