Straddles

[ironchef]

Hi all,
I purchased 3 calls, each with a delta of 80, expiring in 2 months. I purchased the same with 3 puts... each with a delta of -80, expiring in 2 months. So the total call delta is 240, and the total put delta is -240.

I am confused. A call with a delta of 80 must be ITM? Same with a put of -80, ITM put?

It is neither a straddle nor a strangle? A strangle has OTM calls and puts?

 

[Jones75]

It sounds like a long guts spread. However delta's in the 80's is way too high or low, depending on your perspective. MM's have way too much money as it is, no need for a gift.

A Long guts can work if you buy just ITM (on both sides). You do need a severe gyration to make this profitable.

Better off looking for just OTM. IMHO

 

[JackRab]

this is indeed a guts, I forgot the name of it...

the payoff is exactly the same as an OTM strangle @ironchef. The OTM is easier to trade though.

 

[ironchef]

this is indeed a guts, I forgot the name of it...

the payoff is exactly the same as an OTM strangle @ironchef. The OTM is easier to trade though.

Thanks for the clarification.