Opening (Margin): UNG January 21st 17 Short Straddle

AMEX:UNG   United States Natural Gas Fund LP
... for a 5.02 credit.

Comments: High IVR /high IV here. I looked at various ways to get around the awful call side skew and decided to just short straddle it. Break evens at 11.98 and 22.02 with delta/theta at -16.85/4.32. Will look to take profit at 25% max.

I'm indicating that it's "short" because of the net delta metric, but it can wander around anywhere between 11.98 and 22.02 and still be profitable.