  Trading option strangles is a highly popular strategy often used by market
participants to mitigate volatility risks in their portfolios. In this paper we
propose a measure of the relative value of a delta-Symmetric Strangle and
compute it under the standard Black-Scholes option pricing model. This new
measure accounts for the price of the strangle, relative to the Present Value
of the spread between the two strikes, all expressed, after a natural
re-parameterization, in terms of delta and a volatility parameter. We show that
under the standard BS option pricing model, this measure of relative value is
bounded by a simple function of delta only and is independent of the time to
expiry, the price of the underlying security or the prevailing volatility used
in the pricing model. We demonstrate how this bound can be used as a quick {\it
benchmark} to assess, regardless the market volatility, the duration of the
contract or the price of the underlying security, the market (relative) value
of the $\delta-$strangle in comparison to its BS (relative) price. In fact, the
explicit and simple expression for this measure and bound allows us to also
study in detail the strangle's exit strategy and the corresponding {\it
optimal} choice for a value of delta.
