Options Greeks

Greeks
IV	Implied Volatility based on the option midpoint price and underlying price as calculated with selected option pricing model. IV is a theoretical value (in %) designed to represent the forecasted volatility of the security or index as determined by the prices of multiple call and put options using the Black-Scholes pricing model. Other variables usually include security price, strike price, risk-free rate of return, and days to expiration. If all other variables are equal, the security with the highest volatility will generally have the highest option prices.
IV Ask	Implied Volatility based on the option ask price and underlying price as calculated with selected option pricing model.
IV Bid	Implied Volatility based on the option bid price and underlying price as calculated with selected option pricing model.
Delta	Estimate of the change in option price per one point change in the underlying price based on the selected option pricing model.
Gamma	Measures the change in delta for a change in the underlying security price
Theta	Estimate of the change in option price per one day passing based on selected option pricing model.
Vega	Estimate of the change in option price per a 1% change in volatility of the underlying based on selected option pricing model.
Rho	Estimate of the change in option price per a 1% change in interest rates based on selected option pricing model.
Multi Leg Greeks	For Multi Leg strategies, the sum of each individual leg is used to produce a single Greek value. The value will always be reflective of the Ask side to the strategy. Example: Vertical Call Delta Buy 1 100 Strike Call Delta .7056 Sell 1 105 Strike Call Delta .5678 Results in Net Delta of .1378 (0.7056 – 0.5678) Note: Multi Leg Greeks are available for all Options trading strategies except Custom.

Greeks

Implied Volatility based on the option midpoint price and underlying price as calculated with selected option pricing model.

IV is a theoretical value (in %) designed to represent the forecasted volatility of the security or index as determined by the prices of multiple call and put options using the Black-Scholes pricing model.

Other variables usually include security price, strike price, risk-free rate of return, and days to expiration. If all other variables are equal, the security with the highest volatility will generally have the highest option prices.

IV Ask

Implied Volatility based on the option ask price and underlying price as calculated with selected option pricing model.

IV Bid

Implied Volatility based on the option bid price and underlying price as calculated with selected option pricing model.

Delta

Estimate of the change in option price per one point change in the underlying price based on the selected option pricing model.

Gamma

Measures the change in delta for a change in the underlying security price

Theta

Estimate of the change in option price per one day passing based on selected option pricing model.

Vega

Estimate of the change in option price per a 1% change in volatility of the underlying based on selected option pricing model.

Rho

Estimate of the change in option price per a 1% change in interest rates based on selected option pricing model.

Multi Leg Greeks

For Multi Leg strategies, the sum of each individual leg is used to produce a single Greek value. The value will always be reflective of the Ask side to the strategy.

Example:

Note: Multi Leg Greeks are available for all Options trading strategies except Custom.

Commissions, taxes, and transaction costs are not included in any of these strategy discussions, but can affect final outcome and should be considered. Please contact a tax advisor to discuss the tax implications of these strategies. Many of the strategies described herein require the use of a margin account. With long options, investors may lose 100% of funds invested. In-the-money long puts need to be closed out prior to expiration, since exercising them could create short stock positions.

Options carry a high level of risk and are not suitable for all investors. Certain requirements must be met to trade options through Schwab. Multiple leg options strategies will involve multiple commissions. Covered Calls provide downside protection only to the extent of the premium received and limit upside potential to the strike price plus premium received. Spread trading must be done in a margin account. Please read the options disclosure document titled "Characteristics and Risks of Standardized Options."