Options Risk Profiles Right Click, LLC All rights reserved Long Call strike Short Call strike Long Put strike Short Put strike Covered Call strike Bull Call Vertical & Bull Put Vertical strikes Bear Call Vertical & Bear Put Vertical strikes Bull Call Calendar Bear Put Calendar same strike - different expiries strike Straddle LC & LP - same strikes strike Strangle LC & LP – different strikes strikes Diagonal different expiries & strikes short strike Butterfly LC, SC(x2), LC strikes Long Condor & Short Iron Condor 4 strikes Review of Basic Option Behavior - Calls Long Calls Short Calls • • Delta – – – – • – – – • • • Always positive Peaks ATM Shrinks at expiration Always negative Valleys ATM Dramatic ATM at expiration Theta – – – • Always negative Approaches -1 deep ITM and 0 OTM As expiration approaches ITM rises, ATM = -0.50, OTM falls Gamma – – – Always negative Valleys ATM Deeper as expiration approaches Vega – – – • Always positive Peaks ATM As expiration become dramatic ATM Theta – – – – – – Always positive Approaches 1 deep ITM and 0 OTM ATM = 0.50 As expiration approaches ITM 1, OTM 0 Gamma Delta Always positive Peaks ATM Higher as expiration approaches Vega – – – Always negative Valleys ATM Shrinks at expiration Review of Basic Option Behavior - Puts Long Puts Short Puts • • Delta – – – – • – – – • • • Always positive Peaks ATM Shrinks at expiration Always negative Valleys ATM Dramatic ATM at expiration Theta – – – • Always positive Approaches 1 deep ITM and 0 OTM As expiration approaches ITM rises, ATM = 0.50, OTM falls Gamma – – – Always negative Valleys ATM Deeper as expiration approaches Vega – – – • Always positive Peaks ATM As expiration become dramatic ATM Theta – – – – – – Always negative Approaches -1 deep ITM and 0 OTM ATM = 0.50 As expiration approaches ITM -1, OTM 0 Gamma Delta Always positive Peaks ATM Higher as expiration approaches Vega – – – Always negative Valleys ATM Shrinks at expiration Picture the Greeks – Narrow Call Spreads Long Call Delta Short Call Vega Gamma ATM ITM Theta Narrow OTM Low Cost Low +Delta Low -Theta Low +Vega Med Risk Med ROI Med Prob OTM Picture the Greeks – Wide Call Spreads Long Call Delta High Cost High +Delta Short Call High -Theta High +Vega Low Risk High ROI Low Prob Vega Gamma ATM ITM Theta Wide OTM OTM Picture the Greeks – ITM/OTM Call Spread Long Call Evenly ITM/OTM Short Call Delta Vega Gamma ATM ITM Theta Med Cost High Delta Neutral Theta Neutral Vega Med Risk Med ROI Med Prob OTM Picture the Greeks – ITM Call Spreads Long Call Short Call Delta High Cost Med +Delta Med +Theta Med -Vega High Risk Low ROI High Prob Vega Gamma ATM ITM Theta ITM OTM
