I have been wrong with my deltas, really really f$@%ing wrong, and not lost a dime. On the other hand, I have been right with my deltas, totally leaning the right way, and lost money. It is the position that you carry in relation to a multi-dimensional environment which determines whether or not you make money. Many people here will say don't be short a naked short straddle. The opposite is also true, don't be long a naked long straddle. At least with a naked straddle, chances are you will feel the pain in one large drop. With a long straddle, you will feel agony every single day, tick by lack of tick. I would say I blew out twice because of long premium, but, it is a lot more complicated than that. Do you need to sell options to make money? Absolutely! As stated above, the opposite is also true. When trading delta neutral, you worry about other greeks a lot more. I would say this; short premium is much kinder than long premium.
I don't think it is possible to trade a long naked straddle delta neutral unless you are buying the options at a significant discount to future volality. To do otherwise, you would have to be a good stock trader. In other words, be a good day trader. There aren't that many people out here who can do that. No worries, with options, you have four other greeks.
A simple idea would be to buy a call spread and sell stock against it. You could gain on a volatility contraction as the stock ran up or a volatility explosion on a sharp move down. In this scenario, your long premium is hedged. There are lots of scenarios. I would reiterate that you should read Natenberg and Cottle. As other have stated, delta neutral is a loaded term. Also, don't let people tell you it is impossible to get an edge when trading with MMs. Most of my best trades were with other MMs. That one though, hmmmm, fucked me twice. But, you need to know what your doing, so post!!
