Any particular markets that you are hooked on 'losing'?

Thanks s23, but I was referring to taking an initial delta position in line with your directional bias in a short straddle. NG atm straddle at 600; 30-delta bull short straddle trading 750. The intent is to earn the otm/atm premium due to delta-exposure under a flat vol surface -- no sticky deltas, flat dvega/dX, flat risk-reversals. IOW, all strikes trading ~ x-vols. It stands to reason that you should receive a premium for taking [initial] exposure to price. Obviously, you're making a bet on volatility as well, so as you add duration you add sensitivity to vol.

Works [inverse] with a long combo -- determine your directional bias and buy the atm straddle while looking to offset when your spot target has been reached. You'll want to solve for [synthetic time] forward vol and deltas @ target [under both scenarios] or you may be caught holding a loser.
 
Quote from atticus:

Thanks s23, but I was referring to taking an initial delta position in line with your directional bias in a short straddle. NG atm straddle at 600; 30-delta bull short straddle trading 750. The intent is to earn the otm/atm premium due to delta-exposure under a flat vol surface -- no sticky deltas, flat dvega/dX, flat risk-reversals. IOW, all strikes trading ~ x-vols. It stands to reason that you should receive a premium for taking [initial] exposure to price. Obviously, you're making a bet on volatility as well, so as you add duration you add sensitivity to vol.

Works [inverse] with a long combo -- determine your directional bias and buy the atm straddle while looking to offset when your spot target has been reached. You'll want to solve for [synthetic time] forward vol and deltas @ target [under both scenarios] or you may be caught holding a loser.
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now your terminology is over my head. for some reason you remind me of riskarb... :)

are you basically talking about a 600/750 vertical bull spread with a combined short put at 600?

:)

now your last paragraph i can't make out exactly what you mean ... if you can, please just refer to the actual positions so i can infer !! thanks.
 
atticus, what advantage does the delta short straddle have over the OTM fly with equal strikes other than the fly is defined risk? I've been looking at plays like these recently and can't seem to find an advantage other than less comms/slippage but at a higher margin.
 
Quote from jj90:

atticus, what advantage does the delta short straddle have over the OTM fly with equal strikes other than the fly is defined risk? I've been looking at plays like these recently and can't seem to find an advantage other than less comms/slippage but at a higher margin.
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Smile characteristics -- one wing-strike is often heavily skewed. I generally prefer flies over straddles.
 
Quote from scriabinop23:

now your terminology is over my head. for some reason you remind me of riskarb... :)

are you basically talking about a 600/750 vertical bull spread with a combined short put at 600?

:)

now your last paragraph i can't make out exactly what you mean ... if you can, please just refer to the actual positions so i can infer !! thanks.
More...

Selling a straddle strike above[below] the market if bullish[bearish], awaiting a touch of the strike for a profitale offset.

Buying a neutral straddle, awaiting delta accumulation. A simple gamma trade.
 
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