Crude options - 2 positions - Same Delta profile - Do they behave the same?

Discussion in 'Commodity Futures' started by J-Law, Apr 24, 2011.

  1. J-Law

    J-Law

    Just a random thought....
    CLQ1 settled 113.02

    In August crude options, two short put trades. One a OTM naked put, the other a closer to the money short put spread/ For the moment shelve a view on short term direction, but for the purposes of this post we are obviously bullish.

    What is the difference between the following trades aside for the net credit differences (More on the spread if it can be executed), the spread obviously is closer to the money & the naked put farther OTM.
    But, The delta profile of each position is almost identical @ -.10.
    Will the P&L of each behave the same as the market trades, will the spread swing around more, or will they move identical?

    Short CLQ1 92.00P for .55 credit (roughly)
    Delta -.105
    Gamma .010
    Theta -3
    Vega 12

    versus

    Short CLQ1 112.00P for 5.30 credit (roughly)
    Delta -.485
    Gamma .029
    Theta -4
    Vega 21

    Long CLQ1 108.50P for debit of -4.50 (roughly)
    Delta -.384
    Gamma .027
    Theta -4
    Vega 21

    Greek info was cut & pasted off of futuresource.com just for example purposes.http://futuresource.quote.com/quote...l=CL+Q1&view=GREEKS&range=both&expiration=ONE