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 .
<clarity> 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 .
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 .