Common Option Strategies: The Greeks

Naked, single option trading is not only risky, but also it is difficult to single out specific exposures. Hence option combo strategies are more common. But what strikes to choose? Hopefully this post would give you some hints.

Assumptions:
- Volatility smile = $0.15 - 0.1\times (K-K_{ATM}) + 0.1 \times (K-K_{ATM})^2 $
- Sticky strike
- Flat volatility term structure

Since $\Theta$ and Vega are similar to $\Gamma$, we skip presenting those. We are showing:
- Price
- Delta
- Gamma
- Vanna
- Volga
- Charm
- $ \frac {\partial}{\partial t} Vega$

Note:
$Vanna  = \frac{\partial}{\partial S}  \frac{\partial P}{\partial \sigma}$
$Volga  =  \frac{\partial^2 P}{\partial \sigma^2}$
$Charm = \frac{\partial}{\partial S}  \frac{\partial P}{\partial T}$

Strangle

Short Bear Spread

Back Spread

Calendar Spread

Diagonal Spread

Butterfly

Broken Wing Butterfly

Iron Condor