OKX Options Greeks: Delta, Gamma, Theta and Vega in Practice

The four numbers, in one table

OKX’s API documentation describes the fields as “Black-Scholes Greeks in dollars” and “Greeks in coins”, and marks all four as applicable to options only. That is a useful constraint: the same position endpoint carries Greeks for futures and swaps, but they are empty strings there.

Delta: exposure, not probability

OKX’s explainer defines delta as the change in an option’s price when the underlying moves by one dollar. Its example: a call with delta 0.60 gains 60 dollars when the underlying rises 100 dollars; a put with delta −0.60 loses 60 dollars on the same move.

Two habits make delta easier to use.

First, separate the quote currency from the exposure currency. On a USD-margined contract, delta in dollars is the number that matches your USD PnL. On a coin-margined contract, the premium is in coin, so a dollar delta and a coin delta answer different questions. OKX publishing both is a convenience, not a redundancy.

Second, do not read delta as probability. A 0.30-delta option is not a 30% chance of finishing in the money, although the two numbers often sit close for simple models. Delta is a derivative of the pricing function; probability is a statement about the distribution of the underlying. Treating them as interchangeable produces position sizing that looks rigorous and is not. The options premium guide covers what the premium itself is made of before the Greeks decompose it.

Gamma: why the hedge drifts

Gamma is the derivative of delta. A position with delta 0.45 and gamma 0.0004 per dollar has a delta of 0.45 at the current price, 0.474 after a 60-dollar rise, and 0.426 after a 60-dollar fall.

That drift is the entire reason delta hedging is a process rather than a transaction. A trader who hedges to zero delta and walks away is short gamma if the hedge was built with options and long gamma if it was built with the underlying, and the PnL between rehedges depends on the path, not just the endpoint.

Gamma also explains the shape of expiry week. As an option approaches the strike, gamma rises; a position that was easy to hedge at 30 days can become difficult to hedge at one day, because each small move changes delta by more.

Theta: the calendar is longer in crypto

Theta is time decay. OKX’s explainer uses an option with theta −2.50, which loses 2.50 dollars of premium per day if nothing else changes.

The crypto-specific point is the calendar. A traditional equity option’s theta is usually quoted per trading day, and a Friday-to-Monday gap contains one decay period in the model even though it contains three calendar days. Crypto options trade continuously, so the same model convention understates the number of decay periods across a weekend. A trader importing a theta from an equity workflow should check whether it is per calendar day or per trading day before comparing it with an OKX position.

Theta is also not constant. It accelerates as expiry approaches for at-the-money options and is largest where gamma is largest. A single theta number is a snapshot of the current slope, not a forecast of total decay to expiry.

Vega: the volatility input

Vega measures the change in premium for a one-point change in implied volatility. OKX’s explainer: an option with vega 7.50 gains 30 dollars when implied volatility rises 4%, and loses 30 dollars when it falls 4%.

Vega matters more in crypto than the headline number suggests, for two reasons:

• Implied volatility can move several points in a session around a macro print or a liquidation cascade, so a vega of 7.50 is not a small exposure.
• OKX sets the mark price with the Black model from market-derived implied volatility, subject to a cap and floor. When the input moves, the mark moves, and the mark is what margin and liquidation use.

That second point is the one traders miss. Vega is not only a PnL sensitivity; on a margined options book it is a margin sensitivity, because the mark price feeds the risk engine.

A worked position

The numbers below are a constructed example, not a market quote, and use a USD-margined BTC option for clean arithmetic.

• Index price: 60,000 USD.
• Contract multiplier: 0.01 BTC per contract.
• Position: 10 contracts, so 0.1 BTC of notional — 6,000 USD at the index price.
• Premium: 1,500 USD per BTC, or 15 USD per contract.
• Delta 0.45, gamma 0.0004 per USD, theta −30 USD per BTC per day, vega 25 USD per volatility point per BTC.

Delta exposure. 0.45 × 0.1 BTC = 0.045 BTC, or 2,700 USD at 60,000. A 1% move (600 USD) changes the option value by roughly 0.45 × 600 × 0.1 = 27 USD before gamma.

Gamma adjustment. Over that 600 USD move, delta rises by 0.0004 × 600 = 0.24, and the second-order term adds 0.5 × 0.0004 × 600² × 0.1 = 7.20 USD. The total is about 34.20 USD, not 27.

Theta. −30 USD per BTC per day × 0.1 BTC = −3 USD per day for the position. Over 30 days that is −90 USD if theta stayed constant — which it will not, because theta accelerates.

Vega. 25 USD per point per BTC × 0.1 BTC = 2.50 USD per volatility point. A three-point rise in implied volatility adds about 7.50 USD to the mark.

The comparison is the lesson: a one-day theta of 3 USD is smaller than the gamma term on a 1% move. For short-dated options the balance shifts, which is why the four numbers have to be read together rather than ranked. Converting the dollar Greeks into a position size is the next step, and the risk-budget position sizing guide does that arithmetic.

What is different on OKX specifically

1. European exercise, cash settlement. OKX’s options introduction states that options are European and that in-the-money options are automatically exercised and settled at expiry. There is no early exercise and no assignment of underlying, so the Greeks describe a cash-settled payoff. The American versus European assignment guide is the contrast case.
2. Black model marking. The mark price is set with the Black model from market-derived implied volatility, with a cap and floor. The mark is the margin input.
3. Settlement is an average, not a print. The settlement price is the time-weighted average of the index over the last 30 minutes before expiry, sampled at 200 ms. A position that is at the money at the close can settle in or out depending on the path of that window.
4. Two contract families. Coin-margined options are inverse and quoted in the underlying; USD-margined options are linear and quoted in USD, USDC or USDG by region. The multiplier differs — 0.01 BTC per contract on both families for BTC, but 0.1 ETH on coin-margined versus 0.01 ETH on USD-margined. A Greek per contract is not comparable across families without the multiplier.

A short checklist

1. State the unit. Dollar Greek or coin Greek; per contract or per BTC.
2. State the day count. Calendar day for crypto theta, not trading day.
3. Recompute delta after a move, not just at entry.
4. Treat vega as a margin input on a margined book.
5. Check the multiplier before comparing two contracts.
6. Remember settlement is a 30-minute average.

Risk note. Contract specifications, marking method and settlement mechanics were read from OKX’s options documentation on 2026-10-28; the Greek definitions and the 7.50-vega example from OKX Learn. The worked position is constructed for arithmetic and is not a quote, a recommendation or a forecast.