That's correct, the delta adjusted number of puts combined with the long futs is a long an adjusted long straddle, with unpaired number of legs. Eg. 10 futs, and you buy slightly OTM puts with delta .40, so buy 25 puts, which means 10 synthetic calls + 15 puts. Trading long straddles is very hard. In the case of an expected strong move the drop in Vega after the strong move happened will also likely eat a lot of your profits. And in many markets the prices are skewedto the downside so a drop in futprice will also deteriorate the value of the total position more than expected. You're paying insurance premium. The seller of the contract is not likely to bear your risk for free. Ursa..