Im looking at a call butterfly spread where i am long one ITM and OTM call option, and short two ATM call options. Also i have a time spread where i am long December put and short November put.
Now lets say implied volatility goes up. I have read online that delta increases for the OTM one but decreases for the ITM one, but nevertheless im not sure about the ATM one and if this affect would basically cancel each other out. Also, its not clear how delta would be impacted since its the change of option price relative to underlying price but here vol is just changing, with no mention of underlying price.
So overall, does anyone know how and why implied volatility increase impact the delta and gamma for a butterfly spread? What about a time spread?
Appreciate anyone who can help answer.