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Empirically it seems to me that a straddle/strangle seller has an 'edge' over a straddle/strangle buyer. I sell strangles routinely but would buy strangles only in exceptional circumstances. Is there any mathematical basis to this gut feeling?
For example if an ATM put is trading at fair value with a premium of 50, and the same applies to the ATM call, it implies that the the volatility is such that there is a low probability of the stock moving more than 50 in either direction, but the premium received is 100. Therefore the seller has a statistical edge. On the other hand the buyer is not in profit until the stock moves more than 100, which is unlikely if the option pricing is correct.
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