Greeks | Paradex | Documentation

Greeks measure the sensitivity of an option’s price to changes in underlying factors such as spot price, implied volatility, interest rates, and time. Paradex provides both Raw Greeks and Cash Greeks.

Raw Greeks are available on the API via the markets summary endpoint. On the UI, users can choose to display Cash Greeks by changing their Greeks preference setting from Raw to Cash.

Assumptions for examples

The examples below use the following assumptions:

BTC spot price = $60,000
Implied volatility (IV) = 40%
Interest rate = 10%
Position size = 1 BTC

Definitions and examples

Factor	Greek	Raw Greek (definition)	Cash Greek (definition)	Examples
Spot	Delta	Sensitivity of option value to a move in the underlying	Expected PnL for a 1% move in spot	Raw Delta = 0.5 → 1% of spot = $600 → Cash Delta = 0.5 ×$ 600 = $300 → Option gains ~$ 300 if BTC rises 1%
Spot	Gamma	Sensitivity of Raw Delta to a move in the underlying	Second-order PnL for a 1% move in spot	Raw Gamma = 0.0002 → Cash Gamma = ½ × 0.0002 × $600² =$ 36 → Additional ~$36 of convex PnL from a 1% BTC rise
IV	Vega	Sensitivity of option value to a 1% absolute change in IV	Same as Raw Greek	Vega = 80 → If IV moves from 40% to 41% → Option gains ~$80
IV/Spot	Vanna	Sensitivity of Raw Delta to a 1% absolute change in IV (equivalently, sensitivity of Vega to a move in spot)	Additional expected PnL assuming 1% move in spot and 1% increase in IV	Vanna = 0.01 → If IV moves from 40% to 41% → Delta shifts such that the position gains an additional ~$6 per subsequent 1% spot move
IV	Volga	Sensitivity of Vega to a 1% absolute change in IV	Same as Raw Volga	Volga = 1.5 → If IV moves from 40% to 41% → Option gains an additional ~$1.50 of convex PnL on top of Vega
Interest Rate	Rho	Sensitivity of option value to a 1% absolute change in interest rates	Same as Raw Rho	Rho = 25 → Rates move from 10% to 11% → Option gains ~$25
Time	Theta	Sensitivity of option value to 1 day of time decay	Same as Raw Theta	Theta = −10 → Option loses ~$10 after 1 day, all else equal