When designing a strategy one mostly faces this problem: what if the underlying doesn't make any move? I have not been able to find a method to "close the gap" say between +2% and -2% spot delta. At some stock betting sites one can make bets on a range (I think they are based on Barrier Options), but would prefer a solution using vanilla long-Calls and long-Puts only. Is it somehow possible? Ie. something like the "Ends Between" method here: https://lo02.betonmarkets.com/d/trade.cgi?market=indices&l=GB&underlying_symbol=DJI
One second thought, couldn't you be long volatility under the assumption that it will make a move in the future?
I think these require writing (ie. shorting) and a margin account, I have currently only a small cash acct :-(...
Right, but one has to take into account the "time decay" of options, this can get costly with overnight strategies using straddles or strangles. I was thinking to add another vehicle exactly for the non-move-case, ie. a kind of simple hedging.
I did some simulations and the preliminary results indicate that one can close the above said gap if one finds calls and puts with differing IV's (for the same underlying), and that seems to be feasable, imo.