Option Greeks, what are they? • The measure of the sensitivity of an option's price to different factors. ➢ Delta. ➢ Gamma. ➢ Theta. ➢ Vega. ➢ Rho. The Report is available if you have at least one open FX Vanilla Option, and it includes both Delta: Shows the equivalent FX Spot exposure of a given position. The article Getting To Know The Greeks discusses risk measures such as delta, gamma, theta and vega, which are summarized in figure 1 below. This article. For more, see Using "The Greeks" To Understand Options. Get Free Newsletters Newsletters. In FX markets, there are various ways to expr ess an. To eliminate residual risk, match the foreign currency notionals, not the local currency notionals, else the foreign currencies received and delivered don't offset. Delta is not a constant, a concept related to gamma another risk spielhallen bremenwhich is a measure of the rate of change of delta given a move by the underlying.