Consider this call: t S (share price today) o 1 100 0.3 0.07 100 r K How many of these calls do you sell, today, to fully hedge a holding of 10,000 shares of the underlying stock? Tomorrow the share price goes to 101. NOW how many calls must you be short in order to be hedged? The greek that tries to capture this required change in position is: Delta Gamma Vega Theta Rho Consider this call: t S (share price today) o 1 100 0.3 0.07 100 r K How many of these calls do you sell, today, to fully hedge a holding of 10,000 shares of the underlying stock? Tomorrow the share price goes to 101. NOW how many calls must you be short in order to be hedged? The greek that tries to capture this required change in position is: Delta Gamma Vega Theta Rho