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

Greeks for Long Straddle Option: Delta, Gamma, Rho, Vega Theta

Continuing from Tips to Enter and Exit Long Straddle Options Position, here are the Greek values for Long Straddle.
Details about Greeks (Delta, Gamma, Rho, Vega Theta) for Long Straddle Option Trading
Dotted line indicates a shorter maturity option Greeks while the solid line represents the long maturity option Greeks.

Greeks form an important quantitative measure for any option trade. Here are the details for Long Straddle Option Trade and their corresponding Greek Values.
Delta Gamma Greeks Long Straddle Options
Delta for Long Straddle Option : it measures the speed at which the option price moves with respect to the underlying. The magnitude of the Delta is highest in either direction at extreme ends meaning the Long Straddle option prices will move high as the underlying moves on either side.
The negative value on the lower side of the Delta graph simply indicates the direction - it will still be profitable to the Long Straddle Option Trader.

Gamma for Long Straddle Option Trading:
As can be seen, the highest value of Gamma is somewhere near the ATM strike price and then it goes down in either direction - indicates that this highest point (ATM strike) is the turning point of profit direction. It might be mistaken for loss, but in either direction it is profitable to the Long Straddle Option trader

Long Straddle Greeks: Delta, Gamma, Rho, Vega & Theta

Rho Vega Theta for Long Straddle Options
Theta for Long Straddle Option Trading:
Time decay is the biggest culprit for the Long Straddle Option Trader. It eats away all the profit if the underlying stock doesn't move much.
It has its worst effect when the underlying price stays at the ATM strike price, as shown in the graph.

Vega for Long Straddle Option Trading:
If nothing else changes, the higher implied volatility will keep the options prices high which will be beneficial to the Long Straddle Option trader. Hence, Vega graph peaks at the center

Rho for Long Straddle Option Trading:
Rho measures the interest rate sensitivity to option positions.
Higher values of interest rates will help the Long Straddle Option Trader as indicated in the graph
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