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Directional Exposure and Greeks of a Call-Put Position

Article Quant Q&A · Author: john
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Summary

The document asks how to characterize a position consisting of a long in-the-money July call and a short at-the-money August put, including its delta and other option Greeks after delta hedging. The replies focus only on directional exposure: both owning a call and selling a put generally benefit from an increase in the underlying, so the unhedged position is net long with positive delta.

The exchange does not calculate gamma, vega, rho, theta, or the Greeks of the delta-hedged position. It gives no contract details, model assumptions, or quantitative evidence, so the bullish direction is a qualitative rule of thumb rather than a full risk analysis. The options have different strikes, expiries, and moneyness, which affect their individual Greeks and the combined position.

Key ideas

  • A long call and a short put both generally have positive directional exposure to the underlying.
  • The combined position is described as net long before delta hedging.
  • The replies do not determine the position’s gamma, vega, rho, or theta.
  • The option terms and model assumptions are needed to calculate the combined Greeks.

Tags

OptionsDerivatives pricingRisk management
Full text
# Suppose you bought a July ITM call and sold an August ATM put, am I net long or short?


# Suppose you bought a July ITM call and sold an August ATM put, am I net long or short?












Here is the full question, even though ive broken it down to the mini question above.

Suppose you have bought a July ITM call and sold an August ATM put. What would be your delta in this position? Once you hedged out your delta what are the following Greeks: -Gamma -Vega -Rho -Theta

I already solved for delta. Really struggling with gamma

## Answer by user151781 (score 1)

https://quant.stackexchange.com/a/15698

net long. selling a put and owning a call are both bullish positions

## Answer by Matt (score 0)

https://quant.stackexchange.com/a/18418

You're buying a call and selling a put, both are directional up bets and your delta will be positive regardless. Therefore you're net long

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.