A "straddle" is a long position in a call AND a put with the same strike and delivery date. Suppose your boss wants you to price a straddle on RBOB futures with the given strike and volatility. Assume the options involved are European. Using the Black model calculate 1. The price of the straddle 2. The Delta of the straddle 3. The Vega of the straddle RBOB Futures 1.5638 Strike 1.56 Time to Maturity 0.083333 Interest Rate 0.025 Volatility 0.17 Price 0.032446 Delta 0.528438 Vega 0.179227