Options pricing without proper understanding of the sensitivities letters the essential measures of risk in option pricing theory and profit/loss guideposts in options pricing strategies is synonymous to flying a plane without the ability to study the instruments. Option pricing/valuation is complex activity in determining the pair price of derivative, as there are a lot of factors involved in the process which include: underlying price (S),strike price (K), time to maturity(T), risk free interest rate (r) , volatility This paper try provides simple derivations of Sensitivities (Greek) letters for European options within the Black-scholes model and also provide relationship between Delta, Theta, and Gamma that appear in the model. The proofs were relatively simple and easy to follow based on the model.

Keywords: Sensivitities, Black-Scholes , option pricing, Call option, Put option, Greek letters