11.5. A stock trades at $20. Its annual volatility is 18%. The risk-free rate is 3%. Calculate the A and the v of a straddle built from one of the calls and one of the puts with strike K = 20 and T equal to 4 months. This example illustrates why a straddle built from at-the-money options is close to being delta-neutral and is a bet on volatility 11.5. A stock trades at $20. Its annual volatility is 18%. The risk-free rate is 3%. Calculate the A and the v of a straddle built from one of the calls and one of the puts with strike K = 20 and T equal to 4 months. This example illustrates why a straddle built from at-the-money options is close to being delta-neutral and is a bet on volatility