Quote from commiebat:
Just because you're halving your delta, that doesn't mean you've halved your position.
Selling the vertical creates a new position that happens to reduce delta, but more importantly changes the price range in which you will realize a profit or loss.
Supposing you owned two Dec 90 calls. Surely you'll agree there's a big difference between the following three adjustments:
1) Sell one Dec 90 call
2) Sell two Dec 110 calls
3) Sell two Oct 110 calls
To take an absurd example, a person might leg into a vertical spread, all in one day. Surely you don't consider that to be "selling half" of the first leg.
Quote from taowave:
Of course you have a different terminal payoff,but that has nothing to do with ones current delta.
In your examples,you are introducing gamma and vega into the equation,and that changes everything.
Quote from commiebat:
That's kind of my point. Delta is all that matters for stocks, because it's how many shares you own. Delta isn't the only aspect of an option position, and nobody was even talking about it until you brought it up. This isn't calculus class, where only "local" effects matter. When you trade options you expect the stock to go somewhere, at a certain time, and you want to be holding the approrpiate options for that move.
See? You agree with me. Just because local delta is divided by two doesn't mean you have half the original position. All it means is it will act like half the original position until the stock moves. Which is kind of meaningless, when everything else about the position has changed, and the stock has five months to move.