Greeks for Long Call Butterfly Option: Delta, Gamma, Rho, Vega Theta: Options, Futures, Derivatives & Commodity Trading

Greeks for Long Call Butterfly Option: Delta, Gamma, Rho, Vega Theta

Further to our articles on Long Call Butterfly Profit & Loss Calculation and Long Call Butterfly Options Spread Trading
Details about Greeks (Delta, Gamma, Rho, Vega Theta) for Long Call Butterfly Option Trade
Greeks form an important quantitative measure for any option trade. Here are the details for Long Call Butterfly Option Trade and their corresponding Greek Values:
Dotted line indicates a shorter maturity option greeks while the solid line represents the long maturity option greeks.

Delta measure the price sensitivity of the option price to its underlying.
Delta Gamma Butterfly Option
The Delta for Long Call Butterfly Option is at its highest value near the 2 outer strikes (ITM and OTM) and is lowest (zero) near the middle ATM strike.

Gamma is the second derivative of the underlying price movement sensitivity to option price (or the first derivative of delta).
Gamma for Long Call Butterfly Option it goes to the lowest value near the middle ATM strike and goes highest near the outer strikes of OTM and ITM.
Greeks Butterfly Option
Theta measures the time decay - see (Options Time Decay: Explained with Examples)

Time decay is benefits the Long Call Butterfly Option trader in the profit region, while it is a problem for the trader in the unprofitable region of the payoff function.

Vega measures the option price sensitivity to volatility.
In case of Long Call Butterfly Option, the volatility leads to loss to the option position in the profit region and becomes helpful as soon as the underlying price breaks out to the outer strikes.

Rho measures the interest rate sensistivity to option positions.
As seen from the chart, an increase in interest rates is beneficial to the Long Call Butterfly Option position if the stock price is lower and vice versa
Have Comments or Questions? Post them using the "Post Your Comments" link below. Your queries will be responded for free in 24 hrs!

0 Comments: Post your Comments

Wish you all profitable derivatives trading and investing activities with safety! = = Post a Comment

Copyright Information:
Please see Our Copy Right Policy. All the articles, posts and other materials on this website/blog are copyrighted to the authors & publishers of this site. The content should NOT to be reproduced on any other website or through other medium, without the author's permission. Contact: contactus(AT)

DISCLAIMER: Before using this site, you agree to the Disclaimer. For Any questions or comments, please mail contactus(AT)

About Us Advertise With Us Copyright Policy & Fair Use Guide Privacy Policy Disclaimer