Business, Legal & Accounting Glossary

Definition: Greeks

Quick Summary of Greeks

A set of factor sensitivities, which includes delta and gamma.

Full Definition of Greeks

The Greeks are a set of factor sensitivities used extensively by traders to quantify the exposures of portfolios that contain options. Each measures how the portfolio’s market value should respond to a change in some variable – an underlier, implied volatility, interest rate or time.

There are five Greeks:

  • delta measures first order (linear) sensitivity to an underlier;
  • gamma measures second-order (quadratic) sensitivity to an underlier;
  • vega measures first order (linear) sensitivity to the implied volatility of an underlier;
  • theta measures first order (linear) sensitivity to the passage of time;
  • rho measures first order (linear) sensitivity to an applicable interest rate.

They are called the Greeks because four out of the five are named after letters of the Greek alphabet. Vega is the exception. For reasons unknown, it is named after the brightest star in the constellation Lyra. At times, vega has been called kappa, but the name vega is now well established.

Four of the five are risk metrics. Theta is not, because the passage of time in certain—it entails no risk. Theta is akin to the accrual of interest on a bond.

The Greeks are defined as first – and in the case of gamma, second – partial derivatives.

Cite Term

To help you cite our definitions in your bibliography, here is the proper citation layout for the three major formatting styles, with all of the relevant information filled in.

Page URL
Modern Language Association (MLA):
Greeks. Payroll & Accounting Heaven Ltd. September 28, 2021
Chicago Manual of Style (CMS):
Greeks. Payroll & Accounting Heaven Ltd. (accessed: September 28, 2021).
American Psychological Association (APA):
Greeks. Retrieved September 28, 2021, from website:

Definition Sources

Definitions for Greeks are sourced/syndicated and enhanced from:

  • A Dictionary of Economics (Oxford Quick Reference)
  • Oxford Dictionary Of Accounting
  • Oxford Dictionary Of Business & Management

This glossary post was last updated: 17th April, 2020 | 0 Views.