Basics
Time Value and Greeks
Option price = intrinsic value + time value. The Greeks show sensitivity.
Price logic
What is inside the price
Premium 8 EUR, spot 105, strike 100: 5 EUR intrinsic value and 3 EUR time value.
Greeks
The four key Greeks
- Delta Reaction to the price move
- Theta Time decay
- Gamma Change in delta
- Vega Reaction to IV
- Example Delta 0.45 means: +1 EUR in the underlying = roughly +0.45 EUR in the option.