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I am working on bull put spread. Currently the spot is way below both the strike prices. So one strike is deep in the money and other is in the money. Net position delta retrieved from Bloomberg for this strategy is negative. But as per my understanding net delta of bull put spread will always be positive. Is it possible

  • Doesn't make sense. This is specifically a vertical spread, right? (a reverse calendar could have a negative delta). And you're sure that the site is depicting selling the vertical not buying it? – Bob Baerker May 8 at 16:22
  • Will you provide more specifics - American or European, strikes, underlying price, and expiration(s)? – Charles Fox May 8 at 21:33
  • It is a vertical spread. European option short put strike of 6000 & long put strike of 4400, underlying is 2060. expiry is 30/03/2023 for both. Delta of short put is -0.460 & long put is -0.468 What I am trying to do is create the bull put spread & use its position delta to take position in the future market as we don't have options with expiry greater than 3 months. Volatility of higher strike is 73.09 & for lower strike it is 88.15. So is net negative delta because of the difference in volatility? And what should I do if the site is suggesting me to sell the vertical instead of buying it? – Sumit May 9 at 8:56
  • Yes, implied volatility affects delta. In the world of equity options, the difference b/t these two implied volatilities is too small to cause delta to invert. I can only guess that it's either bad data or that the pricing formula for futures options is very different than for equity options. – Bob Baerker May 11 at 21:41
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All else equal, a put with a higher strike will have a more negative delta than a put with a lower strike. If an investor buys a high strike put and sells a low strike put, it is a negative exposure to the underlying.

Options trading can be risky and can cause significant losses. Options trading is not appropriate for some investors. The above is not investment advice and should not be relied upon for an investment decision.

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