Options Trading Glossary

How much an option's price is expected to move for a $1 move in the underlying stock. A 0.50 delta call gains roughly $0.50 for every $1 the stock rises. Delta also approximates the option's probability of expiring in the money.

The rate delta itself changes as the stock moves — the "accelerator." Gamma is highest for at-the-money options near expiration, which is why 0DTE moves can feel violent.

How much value an option loses per day purely from time passing, all else equal — "time decay." Theta accelerates as expiration approaches, especially for at-the-money contracts.

How much an option's price changes for a 1-point move in implied volatility. Long options have positive vega (they gain value as IV rises); this is why options get more expensive heading into earnings.

How much an option's price changes for a 1% move in interest rates. The smallest-impact Greek for most short-dated retail trades, but it matters more for long-dated options (LEAPS).

The market's forecast of how much a stock will move, backed out of the option's own price via a pricing model. Higher IV means more expensive options. See our full IV guide.

How much the stock has actually moved in the past (realized, not implied), typically measured over a trailing 30/60/90-day window. Comparing HV to IV is one way to gauge whether options look cheap or expensive.

Where current IV sits within its own 52-week high/low range, as a percentage. IV Rank of 80 means today's IV is near the top of where it's traded over the past year. See our IV Rank vs. IV Percentile guide.

The percentage of trading days in the past year where IV closed lower than today. A different (and often more reliable) way to answer "is IV high or low right now" than IV Rank alone.

The rapid drop in implied volatility right after a known event (like earnings) passes and the uncertainty it priced in disappears — even if the stock barely moves. See our IV crush guide.

The pattern of IV being different across strikes at the same expiration — usually higher for downside puts than upside calls, reflecting demand for crash protection.

The total number of outstanding contracts at a strike that haven't been closed or exercised. Rising OI alongside price movement suggests new positioning, not just existing contracts changing hands.

The number of contracts traded today at a given strike. Volume greater than open interest is a classic signal of fresh, same-day positioning rather than existing holders trading among themselves.

In-the-money (has intrinsic value today), at-the-money (strike ≈ current price), out-of-the-money (no intrinsic value — its entire price is extrinsic/time value).

Intrinsic value is what the option would be worth if exercised right now (zero if OTM). Extrinsic value is everything else — time value and implied volatility priced in on top.

The gap between the highest price a buyer will pay and the lowest a seller will accept. A wide spread relative to the option's price means a liquidity cost on every round trip.

Exercise is the option buyer choosing to invoke their right to buy/sell the underlying at the strike. Assignment is what happens to the option seller on the other side when that happens.

Buying (or selling) a call and a put at the same strike and expiration — a bet on a big move (long) or a quiet session (short), in either direction.

Like a straddle, but the call and put strikes are different (usually both out-of-the-money) — cheaper to buy, or collects less credit to sell, than a straddle.

Selling one option and buying a further-out-of-the-money option of the same type to cap risk, collecting a net credit — a defined-risk way to bet on a level not being reached.

Buying one option and selling a further one of the same type to reduce cost, paying a net debit — a defined-risk, lower-cost directional bet than an outright long option.

A call credit spread and a put credit spread combined, both out-of-the-money — a defined-risk bet that the stock stays within a range through expiration.

Closing an existing option position and opening a new one at a different strike and/or expiration — usually to extend time, adjust the strike after a move, or lock in a gain while staying in the trade.

An estimate of market-maker gamma positioning across the whole options market for a symbol — used to model whether dealer hedging is likely to dampen (long gamma) or amplify (short gamma) price moves. Full guide: What Is GEX?

The estimated stock price at which aggregate dealer gamma exposure flips from positive to negative (or vice versa) — a level where volatility regime can shift abruptly. Modeled in OptionScope's X-Factor tab.

The market's implied 1-standard-deviation price range by a given date, derived from ATM straddle pricing. Try it free: Expected Move Calculator.

An option expiring the same trading day. Theta burn and gamma both behave very differently intraday than the standard expiry-payoff diagram suggests — modeled in OptionScope's 0DTE Modeler.

What a Black-Scholes/binomial pricing model says a contract should be worth given the current stock price, strike, time, and volatility inputs — compared against the actual market price to flag over/underpricing.

The uncertainty around whether a stock will close exactly at (or very near) a strike price at expiration, making it unclear whether an option will be assigned.