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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

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  • $\begingroup$ Gamma/Vega/etc can be positive or negative depending on how far ITM the call is. Why can't you use your broker's software to check out the greeks? $\endgroup$ – derenik Nov 30 '14 at 23:48
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net long. selling a put and owning a call are both bullish positions

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  • $\begingroup$ hey thanks for the response! i know it is net long in terms of underlying but that doesnt help with gamma because the underlying has 0 gamma. I meant in terms of the value of the options, ( i am buying one and selling the other) am i net long or short? does that make sense? maybe you can shed some light on the problem if my understanding is incorrect. $\endgroup$ – john Nov 30 '14 at 1:50
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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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