ok, in the past i generally traded the option with expiration date far into future at least 1 or 1 1/2 year from today's date. I see the problem is they were expensive and less sensitive to price movement compared to soon-to-expire options. I gave it a shot yesterday first time by purchasing straddle (both put/call) with Nov 28 2014 expiration date which means just about a month from now. Now I am aware the last months the option time value deteriorates fastest so not planning to hold more than few months. Also got it just before the company's earnings call to see some volatiliy since each of call and put was around 5.00$. so I thought if stock price moves by that much I will be at least break even. Well turned out that I forgot that option price movement is not much near strike. Yes today stock price is down 5.00$ but both call and put option moved just about 2$. But losing side is slightly bigger than winning side so there is some less. And also looking at the bid price different, i calculated I will be losing 10% if i sell now. so question for seasoned traders is, in generally at what point the option price starts moving in 1-to-1 ratio in relationship in regaring to stock price.
Delta tells you that and Delta changes along with everything else so the real answer to your question is you need to understand the Greeks. DITM shorter dated options with a Delta >90 have very little time premium and mirror the underlying fairly closely. I strongly recommend this book. There is an old edition which I have and I like it, so if there are substantive differences in the new edition I might just buy that too. http://www.amazon.com/Option-Volati...UTF8&qid=1414608382&sr=1-2&keywords=Natenberg
Not sure exactly what you are asking, but generally one of two things have to happen for the option to trade at close to parity with the underlying. 1. There is almost no time left and the option is in the money. 2. The option is very deep in the money. Also, if I understand your post and if the straddle you bought was ATM, you will need to have the underlying move quickly about seven or eight points from the straddle strike price for your straddle to show a profit. The longer it takes to move the required amount, the closer to ten points (total cost of the straddle) the required amount will be. The effect you seem to be seeing is that the deltas of the two options you bought were probably at about .5 each. As one increases the other decreases and it takes a fair amount of movement in the underlying for the combined delta to become significant, especially since you are working against the theta. Hope that helps.