Hello again r/options, I am back once again to spew my absolute nonsense strategies into the void in hopes of learning something new.
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I got an absolute banger for yall today: what are yall's thoughts on 'weighted' straddles or strangles? The idea is pretty simple: buy a straddle immediately at market open to capitalize on the early volatility and volume spike, whilst maybe potentially looking for ORB related plays as well, then decide what to do with the legs later on so as to make the losing leg breakeven, or perhaps even sell \*both\* legs for a profit if price heavily chops.
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I would like to know how best to manage such a position, should I sell the losing leg first? If so, should I put that reclaimed capital toward the winning leg and average it up? Or, should I sell the winning leg first in accordance with take profit rules, and then my idea comes into play- is there a case to be made for averaging down on the losing leg, so that price only has to recorrect half as far to BE or even go green on it?
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The assumption is that, given a strong enough price move (which usually happens right at open but also because IV crush hasn't taken place yet and theta hasn't set in too strongly on the 0dtes early on), the straddle itself will usually go net green no matter what because the winning leg will gain value faster than the losing leg loses value. So I suppose I'd always have the option of selling both legs at once if I'm happy to pocket the net profit, but I'm just curious about those alternative ways of 'legging out' of the position and I haven't read much on it yet.
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I'll add that I do realize and will account for the fact that a straddle may be weighted in/of itself depending on the cost of the legs, hence the stipulation that I'd do this right at open before prices skew one way or another toward calls/puts. Otherwise, I suppose if I select strikes such that the call and put always cost the same, this is just a classical strangle, correct? Suppose I do construct a strangle but slap on a second or third contract to even out the prices, something tells me this behaves differently than a straddle would because of the greeks, could somebody go a bit more in-depth on how that would behave? Interested to hear yall's thoughts, thanks!