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Delta:

Positive Delta positions gain value as the price of the underlying instrument goes up, while Negative Delta positions gain value as the price of the underlying goes down.

Buying calls creates a Positive Delta position.

Selling puts creates a Positive Delta position.

Buying puts creates a Negative Delta position.

Selling calls creates a Negative Delta position.

Options Spreads - will provide Deltas equal to the positive Delta Options minus the negative Delta Options, and the final result can yield negative or positive Deltas depending on the composition of the spread.

A Credit Spread Call Vertical (Bear Call Spread) that is set up OTM will be a negative Delta position, since the negative Deltas of the short strike will be larger than those of the positive Deltas of the long strike.

A Credit Spread Put Vertical (Bull Put Spread) that is set up OTM will be a positive Delta position, since the positive Deltas of the short strike will be larger than those of the negative Deltas of the long strike.

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Delta Size:

A long call will generate positive or “long” Deltas equivalent to the number of contracts traded times the actual Delta value of that Option. A long put will generate negative or “short” Deltas equivalent to the number of contracts traded times the actual Delta value of that Option.

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Gamma:

Is the measure of the change of an Option’s Delta value with respect to a one point move in the price of the underlying instrument.

As Options sellers, we will almost always be dealing with Negative or Short Gamma positions. Negative Gamma positions lose value as the price approaches the position.

When Options are well out of the money, Delta values change very slowly with changes in the underlying price. The closer that the position gets to the money, however, the faster that Gamma ramps up and “accelerates” the movement in Delta.

A Credit Spread position has Negative Gamma characteristics which means that it will lose value as price approaches the short strike price.

A Debit Spread position has Positive Gamma characteristics which means that it will gain value as price approaches the short strike price.

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Theta:

Is the measure of the change in an Option’s value with respect to a one-day change in time.Should be positive, If this “Theta” number is positive, then it illustrates how much your position is gaining value every day as a result of Theta.

If you see a positive number that represents the Theta of your entire position, then you’re doing something right with your Option selling strategy.

Selling Puts creates a Positive Theta position, and Selling Calls creates a Positive Theta position.

Selling a Credit Spread means that the Positive Theta of the short Option is larger than the Negative Theta

of the long Option, so the position will be Positive Theta overall.

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Vega:

Is the measure of the change in an Option’s value with respect to a one-percent change in volatility.

If this number is positive, then it illustrates how much your position will gain with a rise in implied volatility.

Generally when you sell an Option, it’s better to have volatility contract after you’ve entered the position, as opposed to expand after you’ve entered the position.

Credit Spreads and Short Options are SHORT VEGA positions, which gain value when implied volatility drops.

Debit Spreads and Long Options are LONG VEGA positions which gain value when implied volatility rises.

Credit spread is a Short Vega position, it will gain value as the implied volatility drops.

Much like Theta, the effects of Vega dissipate with time.

The effects of a change in implied volatility will have the most dramatic effect on longer-term Options vs. those about to expire.

__For the purposes of a Credit Spreads you want:__
Delta: Neutral

Gamma: Negative

Theta: Positive

Vega: Negative