Option Greeks measure how an option's price responds to changes in the stock price (delta and gamma), time (theta), implied volatility (vega), and interest rates (rho).

Gamma, theta, and vega are largest for strikes near the Celsius stock price and shrink for strikes far above or below it. Theta grows as expiration gets closer, while vega is larger for expirations further out. Call delta runs from 0 to 1 and put delta from -1 to 0, near 0.50 and -0.50 at the money, and roughly estimates the chance that an option finishes in the money.

Celsius IV rank is 64, so implied volatility is in the upper part of its one-year range. Higher implied volatility raises option premiums and daily time decay (theta), and spreads delta and gamma across a wider range of strikes. Over the past year, 30-day implied volatility ranged from 36.2% to 87.7%. See the CELH implied volatility history for a longer view.

Across all open Celsius options on Nov 4, 2026, net gamma exposure was $4.46M and net delta exposure was $167.99M per 1% move in the stock. The CELH gamma exposure chart shows where that gamma sits by strike.

Celsius Holdings operates in the energy drink subsegment of the global nonalcoholic beverage market, with 95% of revenue concentrated in North America.