I have been experimenting with vertical call spreads of the following kind. I buy a long term (now, usually Jan05), slightly OOM call and sell the same expiration call one or two strikes above the one I bought. I try to get a debit, at most 1/3 the difference between the strikes. I restrict myself to stocks which I feel are quite undervalued. Many of these options are sparsely traded. My question has to do with when to close such a spread. I find it unpredictable when the spread value will rise. However the win rate for such plays seems quite high. Often the value doubles long before expiration. The theoretical maximum is the difference between the two strikes. However I notice that even when both legs are deep in the money, the closeout value is often more than a dollar below that difference. I think that as you get closer to expiration and/or the spread gets deeper in the money, the closeout value improves slightly. Can anyone suggest rules of thumb on when you should close out the spread so as to establish another one using higher strikes? Thanks.