My Underlying: ES (S&P 500 emini) Multiplier: 50 I set up the following long Iron Butterfly (IB): Long May 1125P Short May 1195P Short May 1195C Long May 1245C When initially placed, delta was zero. Of course, gamma was negative, vega negative and theta positive. As the underlying moved upward, delta became negative very fast. As the underlying moved 17 points upward, delta was at -50 (equivalent of one short future). But as the underlying returned to the 1195 level, delta was still negative--smaller value but still negative. It wasn't until the underlying reached 1187 level that the delta became zero again. Question: Why wouldn't the IB be neutral once the underlying returned to the 1195 level? Now, once the underlying moved below the 1995 level, delta became positive, but at a much slower rate than the upward move. Question: Why is this so? Anyway, I know that theta increases more quickly as the time to expiration shortens. Gamma has remained constant.