Option Greeks are used to measure the sensitivity of an option's price. Option Greeks refer to simple concepts that can help better understand the risk and the potential reward of an option position.
Greeks can be seen on the platform in the trade ticket under the FX option.
Option Greeks
- Delta: Shows the equivalent FX Spot exposure of a given position. This is the sensitivity of a position’s value with respect to the spot rate.
- Gamma: This is the second derivative of the position value with respect to spot, i.e. it shows how much the delta changes when the spot changes (i.e. how much will the delta change when the spot moves up by one percentage point.
- Vega: Sensitivity of a position with respect to the implied volatility used to price FX Options. This shows how much money is made (positive number) or lost (negative number) when volatility goes up by one percentage point.
- Theta: Also known as time decay. This shows how much the position will increase or decrease in value from one day to the next.
Viewing FX Option Greeks on the platform
The FX Option Greeks are visible in the trade ticket and Option chain.
For existing positions, Greeks are available in the Positions module either as a column or via a simple right-click (Greeks).
It is also possible to see aggregated Greeks by grouping positions by Underlying and enabling the Net Greek exposure.