Option strategy Greek matrix

Quick answer: The strategy matrix shows every strategy's delta, gamma, theta and vega as a computed plus, minus or near-zero sign, derived by the site's Black–Scholes engine from that strategy's actual legs at spot 24,000 with 30 days to expiry — not transcribed from a reference book.

This is the page that earns its authority by computation. For each strategy the site's Black–Scholes engine takes the exact legs, values them at spot 24,000 with thirty days to expiry, and reads off the net sign of delta, gamma, theta and vega. A plus means the position gains as that variable rises; a minus means it loses; a near-zero mark means the leg exposures broadly cancel at this snapshot. Because the signs are measured rather than recalled, they are correct for this position at this point on the surface — and they can flip as the underlying moves, as time passes and as implied volatility shifts. A sign in this table is a photograph, not a constant.

Greek signs are the net exposure of the whole position at the reference spot with 30 days to expiry, computed by the site's Black–Scholes engine — not copied from a textbook. A sign can flip as the underlying moves; the per-strategy Greek panels show exactly where.

What each sign means for the holder

Read every sign from the holder's side of the trade. Positive delta means the position gains when the underlying rises; negative delta means it gains when the underlying falls. Positive theta means time is working for you — the passage of a day, all else equal, adds value — which is the signature of a net seller of options. Negative theta means you are paying rent to hold optionality. Positive vega means rising implied volatility helps you; negative vega means a jump in implied volatility hurts you, which is why sellers of rich premium dread a volatility spike after they are positioned. Gamma measures how fast delta itself changes: positive gamma means your directional exposure improves as the market moves your way and cushions when it moves against you, at a price paid in theta.

Why gamma and theta usually fight

Look down the gamma and theta columns and you will usually see opposite signs. That is not a coincidence of the examples chosen. Gamma is the curvature of the payoff, and curvature is exactly what makes an option worth more than its intrinsic value; theta is the daily bleed of that extra value. You are paid theta precisely for carrying negative gamma, and you pay theta precisely for the privilege of owning positive gamma. A single option, valued at a single volatility, always has positive gamma, and its holder almost always pays theta for it. The craft of options is largely the choice of which side of that trade to stand on. But read the table carefully and you will find rows where the two signs agree, and they are worth more than the rule itself — the next section explains them.

Signs are not constant across the strikes

A single row states the sign at one snapshot, and a snapshot can mislead. The clearest case is the broken-wing butterfly, whose delta changes sign as the underlying travels across its strikes: below the body it may lean one way, above it the other, because the unequal wings reshape the payoff as price moves. Gamma and vega can likewise swing from positive to negative around a short strike, and theta's magnitude balloons as expiry nears. The matrix cannot show this motion in a static cell, so treat each sign as the reading at spot 24,000 with 30 days left. Move the underlying a few hundred points, or let a fortnight pass, and re-read the position — the sign you relied on may have reversed.

When gamma and theta agree, and why

Two mechanisms break the rule, and both are visible in the table above. The first is the volatility skew. Each leg's Greeks are computed at that leg's own implied volatility — the sticky-strike convention every broker platform uses — and on this chain an out-of-the-money put carries a richer implied volatility than an equidistant call. Gamma is inversely proportional to volatility, so the cheaper-volatility leg of a vertical spread contributes more gamma per rupee than its partner. That is enough to flip the net sign of a spread whose two legs nearly cancel: the four verticals here sit within a whisker of gamma-neutral, and the skew decides which side of zero they land on. Their gamma is tiny — an order of magnitude below a single long call — so the sign is real but the exposure is negligible, and it will not survive a hundred-point move in the underlying.

The deep in-the-money put, and what the model is not telling you

The second mechanism needs no skew at all. A single long option always has positive gamma, but it does not always pay theta: a deep in-the-money European put has positive theta. Its time value is already near zero, so there is nothing left to decay, while the strike it will eventually receive keeps discounting closer to its full value with every passing day. The interest term outruns the decay term and theta turns positive. This is a property of European exercise — it is why deep in-the-money puts on an index trade below their intrinsic value, and why the same position on an American-style stock option, which can be exercised immediately, does not behave this way. More generally, these are Black–Scholes Greeks computed leg by leg at each leg's quoted volatility. They assume the surface stays where it is. It does not, and a Greek that is a photograph of a moving surface should be read as a direction, not a measurement.

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Last reviewed 9 July 2026. Educational content only — not investment advice.