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.

conundrum (?) ... Don't trade with real money before you establish a good education in the field! This is not something you should learn only through trial and error.

I've been trading IB's for a couple of years actually. It is all about money management. The movement of delta or the other Greeks really is a moot point once the trade is placed. I understand the Greeks well, but the difference in rate of change in delta when gamma remains constant puzzles me. I would expect delta to increase more quickly when volatility is spiking. Money management is most important..like knowing when to take your profit and knowing when to cut your loss.

MTE is probably right, but I suspect your numbers - assuming one contract at each strike. The -50 delta refers to the underlying - so that'd be -1/2 futures contract at +17. That still seems pretty high, but with low vol. it is possible. A spike in vol. pumps up option prices across the chain. Gamma will be lower closer to atm and will increase on the wings. Looking at a hypothetical fly - gamma might drop approx .05 in the center and rise about .05 on the wings - with a rise in vol. Gamma remains constant. Obviously, as ES passed through the center of the fly, the rate of change decreased to 0 and increased as delta turned positive - but at a slower rate due to increase in vol - and the fact that ES is still closer to the center of the fly than it was. Interesting question, I'd double check the numbers on another calculator - but I agree with you that position management (making money) is by far, more important.

Appreciate the explanation. Example I gave was five IB's. So a -50 is really equal one short ES future (future has delta of -1 times the multiplier of 50). I just find it interesting how the change in delta is different with respect to volatility and when the underlying moves above and below the short strike.