For those not in the know, gut strangles are where both options are in the money. I suppose the Greeks are different for such an arrangement and it requires extra margin.
The Greeks are the same as a normal strangle. There is no reason to actually enter a gut strangle - but it can be the by-product of risk management. For example I was long SPX puts and after the market sell off I hedges my delta by buying atm calls. I wanted to cover my short delta and at the same time add some local gamma. So I ended up with a gut strangle.
Hi Newwurldmn. Can ask what you mean by "local" something? E.g. "local" gamma. I'm sure it's something obvious but I'm not familiar with the term although have seen others use it on ET.
What's the point of gut strangles? - To take advantage of a really really really volatile market move that could go in either direction