888 Part VI: Measuring and Trading Vo/atillty 
Stock 
Price P&L Delta Gamma Theta Vega 
54.46 1905 - 7.40 1.62 0.94 - 1.57 
55.79 1077 - 4.90 2.07 1.18 - 1.96 
57.16 606 1.97 2.13 1.53 - 2.90 
58.56 528 0.74 1.65 2.00 -4.62 
60.00 771 2.38 0.56 2.63 -7.22 
61.47 1127 2.07 - 1.01 3.38 -10.63 
62.98 1252 - 0.87 - 2.85 4.22 -14.56 
64.52 702 - 6.73 - 4.67 5.07 -18.61 
66.11 - 1019 -15.42 - 6.21 5.85 -22.31 
In a similar manner, the position would have the following characteristics after 
14 days had passed: 
Stock 
Price P&L Delto Gamma Theta Vega 
52.31 4221 - 9.10 0.69 0.55 - 0.98 
54.14 2731 - 6.93 1.69 0.75 - 0.89 
56.02 1782 - 2.87 2.51 1.06 - 1.21 
57.98 1717 2.17 2.44 1.61 - 2.69 
60.00 2577 5.85 1.00 2.51 -6.00 
62.09 3839 5.29 - 1.63 3.73 -11.05 
64.26 4361 - 1.55 - 4.61 5.09 -16.90 
66.50 2631 -14.80 - 7.02 6.31 -22.17 
68.82 - 2799 -32.83 - 8.32 7.18 -25.72 
The same information will be presented graphically in Figure 40-13 so that 
those who prefer pictures instead of columns of numbers can follow the discussions 
easily. 
First, the profitability of the spread can be examined. This profit picture 
assumes that the volatility of XYZ remains unchanged. Note that in 7 days, there is a 
small profit if the stock remains unchanged. This is to be expected, since theta was 
positive, and therefore time is working in favor of this spread. Likewise, in 14 days, 
there is an even bigger profit if XYZ remains relatively unchanged - again due to the 
positive theta. Overall, there is an expected profit of $800 in 7 days, or $2,600 in 14 
days, from this position. This indicates that it is an attractive situation statistically, but, 
of course, it does not mean that one cannot lose money.