How much do you lose per day for your strangle if, Financial Management

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How much do you lose per day for your strangle if

Underlying trading at $100, and $20 annualized implied volatility. You think IV is too low and decide to buy a 90-110 strangle with 3 months to expiration (DTE=63).

(Hint: a strangle is a combination of OTM PUT and OTM CALL.)

Assume interest rate of zero and normal distribution of prices.

How much do you lose per day for your strangle if underlying did not move?

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