When you take a straddle - your delta is almost 0.
If the trade is short term - there won't be any gain from theta.
So only way you are going to make money is from gamma - which would push delta higher or from vega as TraderJunkie mentions.
If this is an anticipated event - everyone is anticipating it and vega is already very high. So once the event happens gain from theta if any would be eaten up by loss from vega.
If this is something from your personal research - which no one looking forward to - IV should be still low - and you will be definitely able to capture both theta and vega gains ( a sudden 100 point move can definitely push up vega).
R
If the trade is short term - there won't be any gain from theta.
So only way you are going to make money is from gamma - which would push delta higher or from vega as TraderJunkie mentions.
If this is an anticipated event - everyone is anticipating it and vega is already very high. So once the event happens gain from theta if any would be eaten up by loss from vega.
If this is something from your personal research - which no one looking forward to - IV should be still low - and you will be definitely able to capture both theta and vega gains ( a sudden 100 point move can definitely push up vega).
R
