- The delta, , of an instrument is the derivative of the value function with respect to the underlying price, ; delta measures sensitivity to price.
- The gamma, is the second derivative of the value function with respect to the underlying, ; gamma measures second order sensitivity to price.
- The vega, which is not a Greek letter, is the derivative of the option value with respect to the volatility of the underlying, ; vega measures sensitivity to implied volatility.
- The theta, is the derivative of the option value with respect to the amount of time to expiry of the option, ; theta measures sensitivity to the passage of time (see Option time value).
- The rho, is the derivative of the option value with respect to the risk free rate, ; rho measures sensitivity to the applicable interest rate.
- Less commonly used:
- The lambda, is the percentage change in option value per change in the underlying price, or .

**Greeks for specific option models**

- options on non-dividend paying stocks, riskglossary.com
- options on stock indexes, riskglossary.com
- options on forwards (the Black model), riskglossary.com
- foreign exchange options, riskglossary.com

- The Greeks: riskglossary.com or optiontutor
- Delta: quantnotes.com or riskglossary.com
- Gamma: quantnotes.com or riskglossary.com
- Vega: riskglossary.com
- Theta: quantnotes.com or riskglossary.com
- Rho: riskglossary.com