Hop on a straddle + ride the Butterfly = a long Strangle . Man, what are these people thinking?

Which of the following is a definite benefit of owning a call spread rather than an outright call?

The ATM straddle with 5 days to expiry currently has a theta value of 12.

Assuming constant volatility in the term structure, what is the approximate price of the ATM straddle with 20 days to expiry?

**True, False or It depends?**

We know that the ATM straddle price can be approximated by the formula

\[ Y_{ATM} = \frac{ 1}{ 2000} S \sigma \sqrt{t}. \]

Since gamma is the second (partial) derivative with respect to the underlying price \(S \), the gamma of the straddle is 0.

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