Ratio Spread Greek Sensitivity Cheat Sheet

After 1000’s of option trades, one begins to have an inate understanding of how options will move relative to volatility and the underlying, as well as the passage of time.  With basic linear interpolation, and a full option table, one can approximate expected prices.  Nevertheless, there is no substitute for quantified mathematic models. 

So, I’ve been meaning to put together a cheat sheet of sensitivities. Armed with my new MoneyPrinter 12000 and Mathematica, I rendered some surfaces.  I plotted the sensativities for a 100 call option (red), 100 call option and short 105 call option (green), 100 call option and short two 105 call options (blue)…against a time axis and underlying price. So…I figured I’d share. IV @ 30%, Dividend at 1%, and Intrest Rates are 5%.

Delta

Gamma

Rho

Theta

Vega

If you’d like another combo plotted for a certain greek, or any of these from another angle…let me know.