We will discuss some intuitive talks on the pricing options and option greeks.

First delta, which is first order approximation of option pricing greek and used as tool to infer probability of the option expiring in-the-money.

For a call option, delta of 0.55 denotes it has 55% of prob expiring ITM

For a put option, delta of -0.35 denotes it has 35% of prob expiring ITM

Position Theta:

Value of the portfolio with dollar amount of theta (extrinsic value) decrease over one day holding everything constant.