Is this a neutral strangle?

Discussion in 'Options' started by Twinsen, Mar 1, 2013.

  1. If the stock is at 30, then 25 put/35 call strangle has the same time value as 25 call/35 put strangle. E.g. if 25P/35C is worth $1 then 25C/35P is worth $11. At the expiration the OTM strangle will be worth $0 and ITM strangle will be at $10 provided that the stock stays in the 25-35 range.

    Time value will decay at the same speed.
     
    #11     Mar 5, 2013