Straddle Vols/Delta

Discussion in 'Options' started by Iceman14, Jul 15, 2010.

  1. Iceman14


    Hey guys, quick question: if given only call delta and put delta separately, how would calculate straddle delta? Would you subract the call delta from the put delta? Also, how would calculate vol. if you only had the separate call and puts vols as well - would you average them?
  2. Yes.

    Take midpoint of either. Same-strike calls and puts will trade at the same vol.
  3. dmo


    Actually you add the call delta and the put delta, keeping in mind that the put delta is negative.
  4. Yeah, obviously taking the difference. Didn't want to confuse it.
  5. As others wrote, you add the deltas, and put and call volty should be equal at same strike. Is your straddle at the money?