Chapters in Derivatives & Options Flow
Chapter 3 of 5 · 7 min read
Reading an option chain and the Greeks
Strikes, premiums, implied volatility and how delta, theta, gamma and vega describe risk.
An option chain lists calls on one side and puts on the other for every strike of an expiry, with premium, OI, volume and implied volatility (IV).
Implied volatility
IV is the volatility the market is pricing in. High IV makes options expensive; IV usually drops after events such as results or elections (IV crush).
The Greeks
- Delta: change in option price per ₹1 move in the underlying; also a rough probability of finishing in the money.
- Gamma: how fast delta changes; highest near the money close to expiry.
- Theta: daily time decay.
- Vega: sensitivity to a change in IV.
Key takeaways
- IV is the price of uncertainty.
- Delta, gamma, theta and vega each isolate one risk.
- Buying options before events means paying for IV that may collapse.
Put it into practice
Open the live page on Market Intelligence and see this concept on real data.
Keep learning
- Option strategies: spreads, theta and defined risk · Derivatives & Options Flow
Education only, not investment advice. Updated 2026-10-09.