CAH Long Straddle update

Well, I certainly could have picked a better option trade to test this... knowing a little more each day sometimes makes me shake my head at previous decisions...especially when they are still in play.

Review:

CAH Jan 35 put for $2.50, Delta = 0.389, OTM by 63 cents
CAH Jan 35 call for $2.85, Delta = 0.62, ITM by 63 cents

The EV on the puts (100%) was a bit higher so that should lead me to believe that traders consider a drop in price more likely. Even according to my charting I would have bought a put or just shorted the stock at $35.50 had I not been wanting to try this style of trade.

Currently:

CAH Jan 35 put for $2.95, Delta = 0.46, ITM by 74 cents
CAH Jan 35 call for $2.85, Delta = 0.524, OTM by 74 cents

So I am up 45 cents on the put and down 90 cents on the call for a net loss of 35 cents. If the Delta holds true then the rate of decline in the call is reducing and the rate of increase in the put is increasing...assuming that the price of the stock actually continues down.

I expect to hold the put and, if the price jumps today, I may close my call at a smaller loss than appears right now.

Jeff.