Market right now is down and my straddle is ITM. What's the best way to exit tomorrow or protect this winning trade? Suppose I don't want to trade underlying and hence there is no gamma scalping. Any comments are welcome!
What you do going forward depends on what you think/hope the underlying might do. There's nothing wrong with taking a profit now, particularly if you think the current move is extended. If you think that the underlying will continue to move, roll the winning side out a strike to book its gains (creating a strangle). Sometimes it's possible to convert a leg to a spread but its viability depends on the month, strike and available premium. Everything depends on your current outlook. Pretend it's a new trade. What would you do today? When you answer that, convert the original straddle to the new position.