Good thread,and you are asking all the right questions. You have the risk side of the equation down,but at the expense of making money..Thats OK,and much better than swinging for the fences and ignoring risk.. I had a feeling your size would be a one lot spread regardless of Delta...Others may vary the numbers of spreads they sell by the equivalent number of shares they want to be long. Let's say your 1 percent risk came out to 100 shares of stock. You could by 100 shares of stock,you could sell 2 50 Delta puts or sell 20 5 Delta put spreads..Forgetting the Greeks,each position has the same initial Delta. If you are good with this,I'll carry on or PM me