Delta - The price sensitivity

Delta measures the rate of change of the derivative value, $V$, with respect to changes in the underlying asset's price, $S$.

$\mathrm{\Δ}\=\frac{\partial }{\partial S}V$

Vega - The sensitivity to volatility

Vega measures the rate of change of the derivative value, $V$, with respect to the volatility, $\mathrm{\σ}$, of the underlying asset.

$\mathrm{\ν}\=\frac{\partial }{\partial \mathrm{\σ}}V$

Theta - The time sensitivity

Theta measures the rate of change of the derivative value, $V$, and time, $\mathrm{\τ}$. This is also known as the "time-value decay".

$\mathrm{\Θ}\=\frac{\partial }{\partial \mathrm{\τ}}V$

Rho - The sensitivity to the interest rate

Rho measures the rate of change of the derivative value, $V$, and the risk free interest rate, $r$.

$\mathrm{\ρ}\=\frac{\partial }{\partial r}V$

Gamma - The second-order time price sensitivity

Gamma measures the rate of change of the delta of a derivative, $\mathrm{\Δ}$, with respect to changes in the underlying asset's price, $S$.

$\mathrm{\Γ}\=\frac{\partial }{\partial \mathrm{S}}\mathrm{\Δ}\=\frac{{\partial }^2}{\partial S^2}V$