1. The ‘Smarter’ Directional Bet
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2. The Math of Leverage (Risk vs. Reward)
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3. The Greeks of Momentum (Delta & Theta)
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4. Picking Your Strikes and Assignment Risk
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5. Actions to Take at Expiry
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6. Topic 6: Course Summary & The Bearish Roadmap
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Delta measures how much your spread gains for every $1.00 the SPY falls. In a debit spread, we want a Negative Net Delta.
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The Long Leg ($672): Delta -0.480 (You gain $0.48 for every $1 drop).
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The Short Leg ($668): Delta -0.438 (You lose $0.43 for every $1 drop).
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The Result: -0.480 – (-0.438) = -0.042.
The Bottom Line: Your “Net Delta” is -0.042. This means the spread value increases by approximately $4.20 per contract for every $1.00 SPY drops. While that sounds small, remember you only paid $152 for the trade, so every $4 move is a huge percentage of your cost!