PCR-Based Trading Strategies

Factors Affecting Option Prices

Option prices (or premiums) are influenced by several variables, collectively known as the Option Greeks:

Delta: Measures how much the option price changes for a ₹1 move in the underlying asset.

Gamma: Measures how much Delta changes with each ₹1 move in the underlying.

Theta: Measures time decay — how much the option loses value as expiry approaches.

Vega: Measures sensitivity to volatility — higher volatility increases option prices.

Rho: Measures sensitivity to interest rates (less relevant for short-term trades).

Among these, Theta (time decay) and Vega (volatility) play a major role in intraday and short-term trading.