The paper introduces a measure to assess the relative value of a delta-Symmetric Strangle under the Black-Scholes model.
problem Measuring the relative value of a delta-Symmetric Strangle under the Black-Scholes model.
method Developed a new measure of relative value in terms of delta and volatility, bounded by a simple function of delta.
result The relative value of a delta-Symmetric Strangle is bounded by a simple function of delta and is independent of other factors.