quick straddle non delta 0

Discussion in 'Strategy Building' started by vendie00, Jan 18, 2007.

  1. vendie00

    vendie00

    Has anyone experienced long straddle (1-2 days, so entering immediately before earnings) in which instead of creating a delta 0 position, you bought a different number of call and put with the objective to exactly (less then 0.1 of difference) have the same distance of the stock from the upside and the down side breakeven?

    Any thoughts?