Delta measures the rate of change of option value with respect to changes in the underlying asset’s price. Delta is the first derivative of the value of the option with respect to the underlying instrument’s price.
Vega measures sensitivity to volatility. Vega is the derivative of the option value with respect to the volatility of the underlying asset.
Theta measures the sensitivity of the value of the derivative to the passage of time (time decay). The model output is divided by 365 to show the daily decay .
Rho measures sensitivity to the interest rate: it is the derivative of the option value with respect to the risk free interest rate.
Lambda is the percentage change in option value per percentage change in the underlying price, a measure of leverage.
Gamma measures the rate of change in the delta with respect to changes in the underlying price.