Maybe someone could help explain this to me: In both situations below a diagonolized backspread is set up. Then a few days later, the underlying price goes down, and volatility goes up. In the first situation, a significant profit is earned, in the second a small loss is earned. However, seemingly the delta, vega etc are the same in both positions. Are my figures wrong? Please advise and thanking you in advance for any help. On 5/27: SPY = 110 A diagonolized backspread could be set up. Sell 1 July 106 call. ($6.9) IV= 26 Delta = 69 Buy 2 Aug 113 calls ($3.56) x2 IV= 22 Delta = 48 x2 Thus the position would be set up for a debit of $.22. The delta of the position is 27. On 6/1 SPY is 107. The July 106 is now $5.16 IV = 29 The Aug 113 is ($3.3) IV= 24 The position is now worth (1.44). Thus a profit of $1.22 would be made. HOWEVER Two days later, the trade seems to set up again - with much different results. On 6/3 SPY is 110 July 106 is $6.6 IV = 26 Delta =69 Aug 113 is $3.46 IV = 22 Delta = 48 Thus the trade would be set up for a debit of $.32. The net delta of the position would be 27. On 6/4 SPY is 106 July 106 is $4.55 Aug 113 is $2.4 Thus the position is now worth $.25 or a loss from 6/1 of $.07. WHY The difference in results?