KOLD / BOIL - I've been writing a modified straddle strategy, where I write calls on KOLD and corresponding calls on BOIL. Given the leverage and inherent decay on both, my theory is over a longer period of time, and days with up and down movements, it may be advantageous relative to just writing a straddle on KOLD solely.
This is all predicated on the notion that the option prices don't otherwise reflect the impact of decay given the leveraged structure, and periods where the price of each doesn't only move in one direction (which has not been the case of late).
So far the jury is out, in a net positive position, but moves like today don't help.
