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Overview

Greeks are risk measures that describe how an option’s price changes in response to various factors. The OptionStrat AI API calculates net portfolio Greeks by aggregating all option legs in a strategy, giving you a complete view of your position’s risk profile. Greeks are returned by the /api/ai/greeks and /api/ai/insights endpoints as part of the response.

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Greeks Response Model

When you call the Greeks endpoints, you receive a response containing: 
{
  "risk_score": 5,
  "net_greeks": {
    "delta": 25.50,
    "gamma": 0.15,
    "theta": -12.30,
    "vega": 18.75
  },
  "quick_tips": [
    "Posicion neutral. Las griegas estan estabilizadas."
  ],
  "llm_analysis": "Optional AI-generated analysis..."
}

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Greek Metrics Explained

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delta
float
Delta measures the rate of change in option price relative to a $1 change in the underlying asset price.

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Interpretation:

  • Positive Delta: Bullish position - profits when underlying goes up
    • +25.50 means the position gains 25.50forevery25.50 for every 1 increase in underlying
  • Negative Delta: Bearish position - profits when underlying goes down
    • -40.00 means the position loses 40forevery40 for every 1 increase in underlying
  • Near Zero: Delta-neutral - relatively insensitive to price movement

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Risk Alerts:

  • |delta| > 50: Highly directional position (leveraged exposure)
  • |delta| < 10: Near market-neutral

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Examples:

  • Long 1 Call (ATM): Delta ≈ +50 (0.50 × 100)
  • Short 2 Puts (OTM): Delta ≈ -60 (2 × -0.30 × 100)
  • Iron Condor: Delta ≈ 0 (balanced structure)
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gamma
float
Gamma measures the rate of change in delta relative to a $1 change in the underlying asset price.

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Interpretation:

  • Positive Gamma: Delta increases as underlying rises (long options)
    • +0.15 means delta increases by 0.15 for every $1 move in underlying
  • Negative Gamma: Delta decreases as underlying rises (short options)
    • -0.25 means delta decreases by 0.25 for every $1 move in underlying

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Risk Alerts:

  • gamma < -10: Severe negative gamma - high volatility risk
  • High negative gamma means your position becomes increasingly worse as the market moves against you

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Examples:

  • Long Straddle: High positive gamma (benefits from large moves)
  • Short Iron Condor: Negative gamma (hurt by large moves)
  • Covered Call: Negative gamma (short call component)
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theta
float
Theta measures the rate of time decay - how much value the position loses or gains per day.

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Interpretation:

  • Negative Theta: Position loses value each day (time decay works against you)
    • -12.30 means you lose $12.30 per day due to time decay
  • Positive Theta: Position gains value each day (time decay works for you)
    • +25.00 means you gain $25 per day from premium decay

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Risk Alerts:

  • theta < -20: Accelerated time decay - losing significant value daily
  • theta > 20: Collecting significant premium daily

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Examples:

  • Long Call/Put: Negative theta (buying premium = losing to decay)
  • Short Call/Put: Positive theta (selling premium = profiting from decay)
  • Iron Condor: Positive theta (net credit strategy)
  • Calendar Spread: Near-zero or positive theta (engineered for time decay)

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Time Decay Acceleration:

Theta accelerates as expiration approaches, especially in the last 30 days.
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vega
float
Vega measures sensitivity to changes in implied volatility (IV).

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Interpretation:

  • Positive Vega: Position profits from volatility increase
    • +18.75 means position gains $18.75 for every 1% increase in IV
  • Negative Vega: Position profits from volatility decrease
    • -22.50 means position loses $22.50 for every 1% increase in IV

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Examples:

  • Long Straddle/Strangle: High positive vega (want vol expansion)
  • Short Iron Condor: Negative vega (want vol contraction)
  • Long Call/Put: Positive vega (benefits from vol increase)
  • Short Call/Put: Negative vega (benefits from vol decrease)

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Volatility Context:

  • High IV environment → Consider selling premium (negative vega)
  • Low IV environment → Consider buying premium (positive vega)

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Complete Response Structure

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risk_score
integer
Overall risk score from 1 (lowest risk) to 10 (highest risk).Calculated based on:
  • Magnitude of delta (directional exposure)
  • Negative gamma (volatility risk)
  • Accelerated theta decay
  • Extreme vega exposure
Score Ranges:
  • 1-3: Low risk (well-balanced, defined risk)
  • 4-6: Moderate risk (some directional bias)
  • 7-10: High risk (leveraged, undefined risk, or extreme exposure)
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net_greeks
object
Net portfolio Greeks aggregated across all legs.
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quick_tips
string[]
Array of actionable insights about the position’s risk profile.Examples:
  • “ALERTA: Riesgo de Theta acelerado. Pierdes $12.30/dia.”
  • “Cartera apalancada: Alcista (Delta 65.50).”
  • “ALERTA: Gamma negativo severo (Riesgo agudo de volatilidad).”
  • “Ingresas $25.00/dia por primas desgastadas (Theta positiva).”
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llm_analysis
string
AI-generated analysis of the strategy (only in /api/ai/insights endpoint).Will be null in the fast /api/ai/greeks endpoint.

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Example API Call

curl -X POST https://api.optionstrat.ai/api/ai/greeks \
  -H "Content-Type: application/json" \
  -d '{
    "underlying_price": 150.00,
    "ticker": "AAPL",
    "volatility_shock": 0.0,
    "legs": [
      {
        "type": "call",
        "action": "buy",
        "strike": 155.0,
        "expiration": "2026-04-17",
        "qty": 1,
        "premium": 3.50
      },
      {
        "type": "call",
        "action": "sell",
        "strike": 160.0,
        "expiration": "2026-04-17",
        "qty": 1,
        "premium": 1.80
      }
    ]
  }'
Response: 
{
  "risk_score": 4,
  "net_greeks": {
    "delta": 32.50,
    "gamma": 0.08,
    "theta": -8.50,
    "vega": 12.30
  },
  "quick_tips": [
    "Cartera apalancada: Alcista (Delta 32.50)."
  ],
  "llm_analysis": null
}

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Strategy Examples with Greeks

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Bull Call Spread

{
  "risk_score": 4,
  "net_greeks": {
    "delta": 35.00,
    "gamma": 0.05,
    "theta": -5.20,
    "vega": 8.50
  },
  "quick_tips": [
    "Cartera apalancada: Alcista (Delta 35.00)."
  ]
}
Analysis:
  • Bullish position (positive delta)
  • Moderate directional bias
  • Small daily time decay
  • Benefits from volatility increase

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Iron Condor

{
  "risk_score": 5,
  "net_greeks": {
    "delta": 2.50,
    "gamma": -0.18,
    "theta": 28.50,
    "vega": -15.20
  },
  "quick_tips": [
    "Ingresas $28.50/dia por primas desgastadas (Theta positiva).",
    "ALERTA: Gamma negativo severo (Riesgo agudo de volatilidad)."
  ]
}
Analysis:
  • Near delta-neutral (slight directional bias)
  • Negative gamma (volatility risk)
  • Collecting premium daily (positive theta)
  • Benefits from volatility contraction

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Long Straddle

{
  "risk_score": 6,
  "net_greeks": {
    "delta": 0.50,
    "gamma": 0.25,
    "theta": -45.80,
    "vega": 65.30
  },
  "quick_tips": [
    "ALERTA: Riesgo de Theta acelerado. Pierdes $45.80/dia."
  ]
}
Analysis:
  • Delta-neutral (profits from any large move)
  • Positive gamma (accelerating profits with movement)
  • High negative theta (expensive hold)
  • High positive vega (needs volatility expansion)

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Calculation Method

The API uses the Black-Scholes-Merton model to calculate Greeks for each individual leg, then aggregates them:
  1. For each leg:
    • Calculate individual Greeks using BSM
    • Apply multiplier: qty × 100 (for options)
    • Invert sign if action is “sell”
  2. Sum across all legs: 
    net_delta = sum(leg.delta × leg.multiplier)
net_gamma = sum(leg.gamma × leg.multiplier)
net_theta = sum(leg.theta × leg.multiplier)
net_vega = sum(leg.vega × leg.multiplier)
  3. Apply volatility shock if specified: 
    adjusted_vol = base_vol × (1 + volatility_shock)
  • StrategyState - Input model containing strategy definition
  • OptionLeg - Individual positions that make up the strategy
  • POST /api/ai/greeks - Fast Greeks calculation (no LLM)
  • POST /api/ai/insights - Complete analysis with AI insights

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