A volatility trading strategy that combines an at-the-money forward call (ATMF call) with an ATMF put with opposite deltas, in order to mitigate forward risk. Both options have identical vega and gamma sensitivities. If an investor expects a substantial rise in volatility, he would buy both call and put so that he could profit from a subsequent movement in volatility. In other words, if the underlying moves sideways far enough, one of the options will end up deep-in-the-money, and when it is sold back to the writer, the investor will more than recover the cost of the two premia paid for the long options. The other option will expire worthless.

However, if both the call and put expire out-of-the-money after a period of stability in the underlying price, only the premia will be lost. In the opposite case, if the investor predicts a substantial fall in volatility, he will sell the straddle (i.e., both call and put) and receive the two premia.