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+EXHIBIT 15.8 Long strangle at-expiration diagram.
+The underlying has a bit farther to go by expiration for the trade to have
+value. If the underlying is above $75 at expiration, the call is ITM and has
+value. If the underlying is below $65 at expiration, the put is ITM and has
+value. If the underlying is between the two strike prices at expiration both
+options expire and the 1.00 premium is lost.
+An important difference between a straddle and a strangle is that if a
+strangle is held until expiration, its break-even points are farther apart than
+those of a comparable straddle. The 70-strike straddle in Exhibit 15.1 had a
+lower breakeven of $65.75 and an upper break-even of $74.25. The
+comparable strangle in this example has break-even prices of $64 and $76.
+But what if the strangle is not held until expiration? Then the trade’s
+greeks must be analyzed. Intuitively, two OTM options (or ITM ones, for
+that matter) will have lower gamma, theta, and vega than two comparable
+ATM options. This has a two-handed implication when comparing straddles
+and strangles.
+On the one hand, from a realized volatility perspective, lower gamma
+means the underlying must move more than it would have to for a straddle
+to produce the same dollar gain per spread, even intraday. But on the other
+hand, lower theta means the underlying doesn’t have to move as much to
+cover decay. A lower nominal profit but a higher percentage profit is
+generally reaped by strangles as compared with straddles.