Why do LEAPS have a higher delta than short-dated at-the-money options?

Because the drift term in d1 grows with time: with a positive rate and more time, the forward price sits further above the strike and the model's delta rises above 0.5. In the table, the one-year at-the-money call has a delta of 0.62.

Should LEAPS be included in a gamma exposure calculation?

Including them adds little gamma near spot but adds open interest and vega. Many tools limit the expiry window for intraday work; what matters is that the window is stated with the result, since two windows give two different totals.

LEAPS (long-dated options)

LEAPS are long-term listed options, generally with more than a year until expiration. Compared with short-dated options they have more vega and rho, far less gamma and slower daily time decay, so their value responds mainly to changes in implied volatility, rates and the long-run level of the underlying rather than to intraday moves.

Senzoukria · Glossary · Updated September 2026

At a glance

Horizon: Generally more than one year to expiry
Dominant greeks: Vega and rho; low gamma
Common uses: Long-term exposure, stock replacement, long-dated hedges

Definition

LEAPS, for Long-term Equity AnticiPation Securities, is the name exchanges give to listed options with long maturities, generally beyond a year. They follow the same rules as other options on their underlying: same multiplier, exercise style and settlement. What changes is the balance of their sensitivities, because time to expiry enters every greek.

Worked comparison

At-the-money calls on an underlying at 100, implied volatility 20%, rate 4%, no dividend. The one-year option costs four times the 30-day one, has less than a third of its gamma, more than three times its vega and more than twelve times its rho, and decays less than half as fast per day.

At-the-money call, spot 100, IV 20%, r = 4%
Greek	30 days	1 year	2 years
Price	2.45	9.93	15.09
Delta	0.53	0.62	0.66
Gamma	0.069	0.019	0.013
Vega per vol point	0.114	0.381	0.516
Theta per day	−0.044	−0.016	−0.013
Rho per rate point	0.042	0.519	1.027

What long-dated options mean for futures traders

Their gamma per contract is small, so even large open interest in long-dated series barely moves intraday gamma exposure estimates.
Their vega is large: long-dated implied volatility and its term structure reflect demand for long-term protection more than today's session.
Their rho is material, so rate changes affect them in a way that is negligible for short-dated options.
Prints in long-dated series are more likely to be hedges or long-term positioning than intraday bets, but the tape does not reveal intent.

In Senzoukria

The GEX module requests a limited window of expirations from the provider, reported in the Calculation assumptions panel as the expiry scope measured from the returned term structure, so LEAPS usually sit outside the exposure figures. Option Flow only follows the two nearest expirations and strikes within ±10% of spot, so prints in long-dated series do not appear in its tape at all. Reading long-dated positioning therefore needs another source.

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Frequently asked questions

Why do LEAPS have a higher delta than short-dated at-the-money options?: Because the drift term in d1 grows with time: with a positive rate and more time, the forward price sits further above the strike and the model's delta rises above 0.5. In the table, the one-year at-the-money call has a delta of 0.62.
Should LEAPS be included in a gamma exposure calculation?: Including them adds little gamma near spot but adds open interest and vega. Many tools limit the expiry window for intraday work; what matters is that the window is stated with the result, since two windows give two different totals.

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