construct a straddle at the strike price not available?

OP is yet another poster from optionetics. I don't have anything against them, just noticing several people from the boards there are also here.
 
Quote from tower:

ROFL

He asked a question that, at least at the CME, has a very simple answer. Flexes are written all the time down here. While it may not be as cool as some of your arcane strategies, it does provide him with the ability to buy or sell a straddle without a pre-existing strike.

This, I believe, was his question.
More...

Neither the CME nor CBOT offers FLEX options on equities, so it's moot with respect to the topic at hand. I thought the OP was asking how to synthesize a mid-strike straddle. FLEX is simply OTC functionality with exchange clearing.

I liked your ORCtrader post.
 
A ratio of calls and puts at the closest strikes combined to make a an intially delta neutral combination? Wouldn't that act close enough to a straddle formed at a strike when the stock is at that strike?
 
Quote from Maharaja:

A ratio of calls and puts at the closest strikes combined to make a an intially delta neutral combination? Wouldn't that act close enough to a straddle formed at a strike when the stock is at that strike?
More...

No. Any movement will cause the greeks to drift away from the straddle curvature. The result will be an increase in gamma/dgamma risk.
 
You must log in or register to reply here.
Back
Top