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. Until it does, the last provider Greeks keep counting (the leg is flagged as stale), so the totals match the per-position figures on the Positions page.
- 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.
Either way the inputs are delayed, cached quotes rather than a live feed - see Market Data for the refresh cadence.
Portfolio rollup
Per-leg Greeks are quoted per share. Each one is multiplied by the position's net quantity (positive for long, negative for short) and by the standard 100-share contract multiplier, then summed across every open leg in the selected portfolios. Closed and expired legs are excluded. The totals read as:
- Delta - share-equivalent delta: the number of shares of the underlying the book behaves like. One long 0.50-delta call shows as +50.
- Gamma - change in share-equivalent delta per $1 move in the underlying.
- Theta - dollars per day from time decay. One short contract with a per-share theta of -1.35 shows as +$135.00.
- Vega - dollars per 1-percentage-point move in implied volatility.
The AI assistant reports the same numbers, and can also quote dollar delta (share-equivalent delta times the underlying price), which it always labels as such.
The expanded rows on the Strategies page and the trade preview on the options chain use the same units, so the same position reads the same everywhere.
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.
One further case isn't about market data at all. Under a portfolio filter, positions are derived from your trades rather than read from your cached positions, so on a very large book the read behind them can come back partial. An amber notice then says some position history couldn't be loaded and Greeks may be incomplete, with a Clear Portfolio Selection button beside it. Unfiltered, this can't happen - see Large Trade Histories.