Registered: Mar 2012
09-03-12 06:34 PM
Quote from sonoma:
You'll have to configure a position with unlimited reward to mimic the long straddle, so you'll have to be net long option positions. One choice would be a backspread. Another would be a long option with additional short verticals further OTM. In both of these examples, you can arrange the legs such that theta and vega match your needs/expectations. And remember that you don't have to keep the legs in the same expiration series.
Thanks I'll try to "play" on Excel with these suggestions and see how they work.