Brian Lee
Jul 29, 2025
Trading Option Greeks is a deep dive into the option Greeks—delta, gamma, theta, vega, and rho—showing how each one affects an option’s price. Understanding these factors is key for anyone who wants to manage risk and trade more confidently.
Dan Passarelli explains the concepts in clear, simple language and includes practical examples throughout. It was the first technical book I read on options. While it’s packed with information, it’s well written and approachable if you take your time. I still refer back to it often. The book also introduces implied volatility, which differs from the historical volatility I use in my strategy.
Depending on a platform, you may see one-day theta or theta over seven days. One-day theta may assume a seven-day week or just the trading days in a week.
Not sure what Fidelity displays. Theta has been a big part of my analysis. This may be a missing component in my strategy.Passarelli uses Implied Volatility (\(IV\)) instead of HV30 to estimate a stock’s expected one-day price movement. The formula is nearly identical to the one used for Daily Volatility (\(DV\)), just substituting IV for HV30:
\[ \frac{IV}{\sqrt{256}} \]
See also (Hull 2016, 307).Passarelli uses 256 as the average number of trading days in a year. However, Hull uses 252 instead of 256; see (Hull 2016, 300).
See Number of Trading Days for the reasons for discrepancies.