Straddle Vols/Delta

[Iceman14]

Hey guys, quick question: if given only call delta and put delta separately, how would calculate straddle delta? Would you subract the call delta from the put delta? Also, how would calculate vol. if you only had the separate call and puts vols as well - would you average them?

 

[atticus]

Quote from Iceman14:

Hey guys, quick question: if given only call delta and put delta separately, how would calculate straddle delta? Would you subract the call delta from the put delta?

Also, how would calculate vol. if you only had the separate call and puts vols as well - would you average them?

Yes.

Take midpoint of either. Same-strike calls and puts will trade at the same vol.

 

[dmo]

Quote from Iceman14:

Would you subract the call delta from the put delta?

Actually you add the call delta and the put delta, keeping in mind that the put delta is negative.

 

[atticus]

Quote from dmo:

Actually you add the call delta and the put delta, keeping in mind that the put delta is negative.

Yeah, obviously taking the difference. Didn't want to confuse it.

 

[tradingjournals]

Quote from Iceman14:

Hey guys, quick question: if given only call delta and put delta separately, how would calculate straddle delta? Would you subract the call delta from the put delta? Also, how would calculate vol. if you only had the separate call and puts vols as well - would you average them?

As others wrote, you add the deltas, and put and call volty should be equal at same strike. Is your straddle at the money?