Wat is Greeks?

The Greeks of a position are the partial derivatives of its value $V(t,S,\sigma,r)$ with respect to the inputs of the pricing model: delta $\Delta=\partial_SV$ and gamma $\Gamma=\partial_{SS}V$; the vega $\mathcal V=\partial_\sigma V$; the theta $\Theta=\partial_tV$, the change of value with calendar time, all else fixed; the rho $\mathrm{Rho}=\partial_rV$; and the second-order cross-sensitivities vanna $\mathrm{Vanna}=\partial_{S\sigma}V$, the change of delta with volatility, and volga $\mathrm{Volga}=\partial_{\sigma\sigma}V$, the change of vega with volatility.