Background
Set 1 Entry into short straddle
Let’s say I sell ATM (19000) Ce and Pe both at Rs 100
When price of one becomes double of other let’s say Ce is 140 and Pe 70, I want to exit(buy) Ce and sell another Ce with premium of Rs 70, and repeat this process.
Exiting is easy buy I am unable to find a way to fetch the strike of CE, which is equal to the PE that is currently sold