Greeks
Portfolio-level option Greeks, where they come from, and how to read them.
OptionsPro pulls per-leg Greeks from the options market data provider, falls back to a Black-Scholes calculation when needed, and sums them into portfolio totals. The Portfolio Greeks card on the Risk & Insights page shows the four Greeks the app tracks (Rho is not displayed).
Definitions
| Greek | Meaning |
|---|---|
| Delta (Δ) | Change in option price per $1 move in the underlying. |
| Gamma (Γ) | Change in delta per $1 move in the underlying. High gamma = delta is unstable. |
| Theta (Θ) | Change in option price per day from time decay, holding price and vol constant. |
| Vega (ν) | Change in option price per 1-percentage-point move in implied volatility. |
Sign conventions
All Greeks are displayed from the position holder's perspective. Long calls have positive delta; short calls have negative delta. A short straddle has negative vega and positive theta, as you'd expect.
Where the values come from
- Provider Greeks - the primary path. Delta, Gamma, Theta, and Vega are pulled pre-computed from the options market data provider (see Settings → Data Sources) and cached. A background job re-fetches positions whose cache has expired.
- Black-Scholes fallback - if provider Greeks aren't available, the app computes them locally using the underlying quote, ATM implied volatility, the contract strike and expiration, and a risk-free rate from FRED.
Portfolio rollup
Per-leg Greeks are multiplied by the position's net quantity (positive for long, negative for short) and summed across every open leg in the selected portfolios. Closed and expired legs are excluded. The displayed totals do not include the contract multiplier - to convert Theta or Vega to a dollar P/L estimate for a full standard equity-option position, multiply the displayed value by 100.
A spinner next to the Portfolio Greeks heading means some positions are still being enriched. Badges next to the heading also surface the count of positions with invalid symbols (red) or stale market data (orange).
When Greeks can be missing
If neither provider Greeks nor enough data for the local fallback is available (e.g. a position queued for a first fetch, an illiquid contract, or an invalid symbol), that leg contributes 0 to the rollup rather than a guessed value, and the stale/error badges next to the heading tell you how many positions are in that state.