Every strike in the option chain shows a bid and an ask — and also a delta and an IV. Why a premium moves the way it does can be measured with a few numbers named after Greek letters: they measure how sensitive an option's price is to the underlying, to time, and to volatility. Theta is the time one, covered in the time value guide; this page covers the other three: delta, gamma, and vega. One note first: all three are rough numbers that change as the market moves, not guarantees.
Delta does not stay put: when the index moves, the option's distance from the strike changes, and delta changes with it. Gamma measures how fast that happens — how much delta changes per one-point move in the index. Gamma is always positive for a long option, calls and puts alike; it is negative for a short option. Example: a call with delta 0.40 and gamma 0.06 has a delta of about 0.46 after the index rises one point. Gamma is highest for at-the-money options near expiration, and nowhere more so than a 0DTE at-the-money strike: in the final hours, a move of a few points decides whether the contract expires worthless or with intrinsic value, so delta can jump quickly between 0 and 1 and the price swings with it. A large gamma means the option's responsiveness to the index is itself unstable — worth one more look before you place the order.
Vega measures how sensitive the premium is to implied volatility (IV): roughly how many dollars the premium moves when IV changes by one percentage point. Vega is always positive for a long option: when IV rises, calls and puts both get more expensive; when IV falls, both get cheaper. Example: an option with vega 0.15 gains about $0.15 of premium when IV rises one percentage point. Vega is highest for at-the-money options with more time left; a 0DTE has only the rest of the day left and little time value remaining, so its vega is small — if the move never comes and IV falls first, the premium shrinks anyway (the IV crush is covered in the implied volatility guide).
Every strike in the option chain shows a delta and an IV: check delta first to see how closely the strike follows the index, then IV to see how richly volatility is priced. Gamma and vega are not shown in the simulator, so use the rules from this page: at the money and near the close, gamma is at its largest and delta at its least stable; a 0DTE's vega is small, so its premium moves mostly with direction and time. When you are starting out, begin with one single-leg long contract and watch how the premium follows the index against the delta shown in the chain; write your exit plan before you open — how much profit to take, how much loss to cut, and what time to exit — all three before entry.
This simulator uses real CBOE option chains delayed about 15 minutes, starts with $10,000 in virtual funds, charges $0.65 per contract per side in fees, and shows P&L net of fees; short-sale margin is a simplified simulated rule at 20% of the strike, not a real broker margin. The simulator is for practicing orders, discipline, and review. It is not investment advice and promises no returns.
Back to the simulator | What is 0DTE? | Simulator Discipline | FAQ | How to Read the Option Chain | Expiry Day | Selling Margin | End-of-Day Review | What is SPX? | SPX vs SPY Options: What Is the Difference? | In, At, or Out of the Money | Implied Volatility | How to Write an Exit Plan | Call or Put | Time Value and Theta