Straddle vs. Strangle Tradeoff - Quant Trader Interview Question
Difficulty: Easy
Category: Options & Greeks
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: options, straddle, strangle, volatility, risk-management
Problem Description
Consider a straddle and a strangle, both with the same expiration date. The straddle consists of an at-the-money (ATM) call option and an at-the-money put option. The strangle consists of an out-of-the-money (OTM) call option and an out-of-the-money put option.
Assuming all options are on the same underlying asset and expire at the same time, which of the following statements is most accurate?
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