Four numbers that tell you what a position will do next. Delta and IV rank do most of the work.
2 min read
The Greeks measure how an option's price responds to things changing: the stock moving, a day passing, volatility shifting. You don't need all of them. For selling premium, delta and implied volatility carry most of the decision.
Delta is how much the option price moves per $1 move in the stock. A 0.30 delta put gains about $0.30 for every $1 the stock falls. It's also, conveniently, a rough approximation of the chance the option finishes in the money.
| Delta on a short put | Rough odds of assignment | Character |
|---|---|---|
| 0.10–0.15 | ~10–15% | Far out, small premium, rarely assigned |
| 0.20–0.30 | ~20–30% | The usual wheel range |
| 0.40–0.50 | ~40–50% | Near the money — you want these shares |
Delta is a snapshot, not a forecast
A 0.20 delta says a 20% chance given today's price and volatility. Both change. It also says nothing about magnitude: two stocks can each show 0.20 delta while one drifts a few percent and the other gaps 30% on a bad quarter. Delta ranks risk within a name — it does not compare risk across names.
Theta is how much value the option loses per day, all else equal. As a seller it's the number working for you — it's what you're actually being paid for. Decay isn't linear: it accelerates sharply in the last few weeks, which is the reason 20–45 day expirations are the common choice for selling. Long-dated options decay slowly, which is why LEAPS are bought rather than sold.
Implied volatility is the market's estimate of how much the stock will move, expressed as an annualised percentage, and it's the single biggest driver of how much premium you collect. Vega measures how much the option's price changes when IV changes by one point.
Raw IV tells you little on its own: 40% might be historically calm for one stock and alarming for another. IV rank fixes that by placing today's IV in the stock's own 52-week range. IV rank of 80 means IV is near its yearly high; 10 means near its low.
A rough reading
IV rank under 20 — premium is thin; selling isn't well paid. 20 to 50 — normal conditions. Over 50 — premium is rich, but ask why before selling into it. Over 80 — something is usually happening. Check for earnings, a pending deal, or news before assuming you've found free money.
Gamma is the fourth Greek — the rate at which delta itself changes — and it matters mainly in the last week before expiration, when a small move can swing a position from safe to assigned quickly. It's the technical reason many sellers close or roll before expiration week rather than holding to the last day.
Educational only
Nothing here is investment, financial, or tax advice. Options carry risk, including losing more than the premium collected, and the examples use round numbers to show the mechanics rather than to suggest a trade. Read risk and position sizing before putting real money behind any of it.
Choosing Stocks for the Wheel
The selection step that decides most of your outcome, before any strike is chosen.
Cash-Secured Puts
Getting paid to wait for a price you'd be happy to buy at — and what it costs when you're wrong.
LEAPS
Buying a year or more of exposure for a fraction of the share price — and what that discount costs.