The greeks, and where the price went

Seven sensitivities of an option price, and how a price move is split into causes.

The greeks are the ways an option's price responds to the things that move it. Knowla computes all of them with the Black-76 model, with interest rates at zero, from each contract's forward price and mark IV.

The seven

Delta: price change per $1 move in the coin. It also reads as a rough chance of finishing in the money.
Gamma: how much delta changes per $1 move in the coin.
Theta: price change per day from time passing alone. It is usually negative for a buyer.
Vega: price change per one point of IV.
Rho: price change per one point of interest rate. Small here, because rates are taken as zero.
Vanna: how much delta changes per one point of IV.
Charm: how much delta changes per day from time passing.

Where the price went

When a contract's price moves between two collections, the greeks at the start let you attribute the move. The coin's move times delta, plus half of gamma times the move squared, is what the underlying did; vega times the change in IV is what implied volatility did; theta times the elapsed time is the clock. What none of those explain is the residual.

Knowla does this step by step across every collection and adds up the pieces, which keeps the residual small, and draws the result as a waterfall in dollars. A large residual is itself information: a quote moved for a reason the model does not capture, or collections were far apart.

When it will not split a price

The page says so, for separate reasons. A contract that costs only a few dollars moves in a few ticks, too small to attribute. And the split needs at least two trading days of stored mark prices; before then, it names how many it has.

See it on the data.

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