when there are large price movements that indicate volatility in the underlying asset kappa changes kappa falls as the option gets closer to its expiration date kappa measures the price change for each percentage point change in implied volatility implied volatility is a prediction it may vary from the real future volatility implied volatility is calculated using a model that determines what the current market prices are estimating an underlying asset s future volatility will be 
kappa can be calculated for individual options as well as an options portfolio when kappa is determined for an options portfolio it is referred to as net kappa net kappa is determined by adding up the kappas of each individual position the other three options greek are delta gamma and theta delta measures the impact of a change in the underlying asset s price it is the ratio that compares the change in the price of an asset usually marketable securities to the corresponding change in the price of its derivative gamma measures the rate of change of delta it is the rate of change in an option s delta per 1 point move in the underlying asset s price theta measures the impact on the price as time passes its time decay 