Options Greeks Explained With Bull Put Spread Examples

By Bruno Nalon · October 24, 2026 · 5 min read

Most explanations of the options Greeks define each letter and stop there. This one follows a single bull put spread from entry and shows what each Greek means for that trade in dollars: how much it gains per day, how much it loses if the stock drops $3, and why it gets riskier as expiration gets close.

The example trade

Stock XYZ trades at $100. With 35 days to expiration and implied volatility at 30%, you sell the 95 put and buy the 90 put. The Greeks below are calculated with the standard Black-Scholes model; your broker's numbers will be close but not identical.

Per contract (100 shares), you collect $102. The spread is $5 wide, so the max loss is $500 - $102 = $398, and the breakeven at expiration is $95 - $1.02 = $93.98. Multiply each Greek in the last row by 100 to get the position in dollars: +15 delta, -1.5 gamma, +$1.63 theta per day and -$4.22 vega per IV point.

Delta: direction in dollars

Delta is how much the option's price changes for a $1 move in the stock. A position delta of +15 means the spread gains about $15 if XYZ rises $1 and loses about $15 if it falls $1. Positive delta confirms the trade is bullish, but only mildly: owning 15 shares would have the same short-term exposure.

The delta of the short put alone (0.26) is also a rough estimate of the probability that it finishes in the money - about one chance in four here. That is why traders choose the short strike by delta: it turns "how far out of the money" into a probability you can compare across stocks.

Theta: the daily income

Theta is how much value the option loses each day as time passes, all else equal. The short 95 put loses $4.00 a day, which you keep because you sold it; the long 90 put loses $2.40 a day, which you pay because you own it. The net is +$1.63 a day in your favor.

Theta is not constant. While the stock stays above the short strike, decay speeds up as expiration approaches, which is why credit spreads often reach half their max profit well before the last week. But theta only pays if nothing else goes wrong - a $1 drop in the stock costs about as much as nine days of decay.

Vega: why rising volatility hurts

Vega is how much the option's price changes for a one-point change in implied volatility. The spread's vega is -$4.22: if IV rises from 30% to 35%, the spread costs about $21 more to buy back, even if the stock has not moved.

This is the main reason to sell spreads when IV is relatively high instead of when it is low. You collect more premium, and a later drop in IV works for you instead of against you. It is also why a stock heading into earnings is dangerous for this trade - IV tends to rise into the event, and the gap risk afterward is much bigger than any IV crush you might gain.

Gamma: the risk that grows near expiration

Gamma is how much delta changes for a $1 move in the stock. The spread's gamma of -1.5 means every $1 drop adds about 1.5 to the position delta: after a $3 drop, the spread behaves like about 19 shares instead of 15, so each further dollar hurts a little more.

At 35 days that effect is mild. In the last week, if the stock sits near the short strike, gamma grows several times larger and the spread can swing from a small gain to close to max loss in a single session. This is the reason to close credit spreads before the final days instead of holding to expiration. EasyTrade Diamond can close positions automatically at 5 days to expiration for exactly this reason.

Putting the Greeks together

The Greeks are most useful combined. Using the position values above, here is the approximate change in the spread's value for some common scenarios:

The table shows the trade's real profile: it earns slowly from time and from stable or rising prices, and it loses faster from a drop combined with rising volatility - which is exactly what a sell-off looks like. Knowing this before entry is what lets you size the trade and set an exit instead of reacting in the moment.

Rho and the Greeks that matter less

Rho measures sensitivity to interest rates. For a 35-day spread it is a few cents per percentage point, small enough to ignore. Brokers also show second-order Greeks such as vanna and charm; they describe how delta changes with volatility and with time. They matter for large books and market makers, not for a single defined-risk spread.

For a bull put spread, delta, theta, vega and gamma tell you almost everything: which way you are betting, what you earn per day, what volatility does to you, and how quickly risk accelerates.

Using the Greeks before you place an order

Before you send a credit spread, check four things in your broker's position or order preview:

1. Delta matches your view. A bull put spread should show a small positive delta. If it is large, your short strike may be closer to the money than you intended.

2. Theta is positive and worth it. Compare the daily theta with the max loss; a few cents a day against hundreds of dollars of risk is a poor trade.

3. Vega is negative, so check where IV is. Selling when IV is low leaves you exposed to a later rise.

4. Add up your positions. Five bullish spreads on five tech stocks behave like one large bet. Summing delta across positions shows your real exposure to a market drop.

Frequently asked questions

Keep reading

• Bull Put Spread Payoff Diagram: Sketch It Yourself
• Bull Put Spread vs Cash Secured Put: Which Should You Sell?
• What Happens When a Bull Put Spread Expires In the Money
• IV Crush: How to Trade Options Around Earnings
• Options strategy guides