English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Zendy Plus

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Zendy Tools

Zendy Open

Trading option strangles is a highly popular strategy often used by marketparticipants to mitigate volatility risks in their portfolios. In this paper wepropose a measure of the relative value of a delta-Symmetric Strangle andcompute it under the standard Black-Scholes option pricing model. This newmeasure accounts for the price of the strangle, relative to the Present Valueof the spread between the two strikes, all expressed, after a naturalre-parameterization, in terms of delta and a volatility parameter. We show thatunder the standard BS option pricing model, this measure of relative value isbounded by a simple function of delta only and is independent of the time toexpiry, the price of the underlying security or the prevailing volatility usedin the pricing model. We demonstrate how this bound can be used as a quick {\itbenchmark} to assess, regardless the market volatility, the duration of thecontract or the price of the underlying security, the market (relative) valueof the $\delta-$strangle in comparison to its BS (relative) price. In fact, theexplicit and simple expression for this measure and bound allows us to alsostudy in detail the strangle's exit strategy and the corresponding {\itoptimal} choice for a value of delta.

How much is your Strangle worth? On the relative value of the $\delta-$Symmetric Strangle under the Black-Scholes model