In this article we propose and calculate, under the Black Scholes option pricing model, a measure of the relative value of a delta- Symmetric Strangle . The proposed measure accounts for the price of the strangle, relative to the (present value of the ) spread between the two strikes, all expressed, after a natural re-parameterization, in terms of delta and a volatility parameter. We show the startling main result that under the standard BS option pricing model, this measure of relative value is a function of delta only and is independent of the time to expiry, the price of the underlying security or the prevailing volatility used in the pricing model. {\it   In fact, the simple and intuitively appealing expression for this measure  allows us to study the strangle's exit strategy and the corresponding optimal choices for values {\it   of delta.
Trading option strangles is a highly popular strategy often used by market participants to mitigate volatility risks in their portfolios. In this paper we propose a measure of the relative value of a delta-Symmetric Strangle and compute it under the standard Black-Scholes option pricing model. This new measure accounts for the price of the strangle, relative to the Present Value of the spread between the two strikes, all expressed, after a natural re-parameterization, in terms of delta and a volatility parameter. We show that under the standard BS option pricing model, this measure of relative value is bounded by a simple function of delta only and is independent of the time to expiry, the price of the underlying security or the prevailing volatility used in the pricing model. We demonstrate how this bound can be used as a quick{\it benchmark to assess, regardless the market volatility, the duration of the contract or the price of the underlying security, the market (relative) value of the \delta-strangle in comparison to its BS (relative) price. In fact, the explicit and simple expression for this measure and bound allows us to also study in detail the strangle's exit strategy and the corresponding {\it optimal choice for a value of delta.
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In this article we propose and calculate, under the Black Scholes option pricing model,
Trading option strangles is a highly popular strategy often used by market participants to mitigate volatility risks in their portfolios. In this paper we propose
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delta- Symmetric Strangle . The proposed
delta-Symmetric Strangle and compute it under the standard Black-Scholes option pricing model. This new
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(present value of the )
Present Value of the
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the startling main result
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bounded by a simple
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We demonstrate how this bound can be used as a quick
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benchmark
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to assess, regardless the market volatility, the duration of the contract or the price of the underlying security, the market (relative) value of the \delta-strangle in comparison to its BS (relative) price.
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simple and intuitively appealing
explicit and simple
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and bound
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study
also study in detail
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optimal choices for values
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optimal
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choice for a value