Best Option Strategy for high beta stock

In the aftermath of the Punjab National Bank (PNB) fiasco, negative global cues, and valuation issues, benchmark indices have fallen 9-10% from their all-time high on January 29 this year. The NSE Nifty index plunged 1,017 points to 10,154.20 on March 7 against its all-time peak of 11,171.55 on January 29, while the BSE Sensex has plunged 3,128 points from its all-time high of 36,443.98 on the same date. High beta stocks like PNB (down 45%), PC Jeweller (42%), Bank of India (38%), Union Bank (30%) and Allahabad Bank (33%) were at the top of the losers list.

In general, price movements of high beta scrips are more volatile than the general market swings. In the case of a rising market, these stocks tend to offer higher returns than the market but look more vulnerable when market sentiment weakens. 

From a trader's point of view, the best options strategy for high beta scrips is 'Delta Neutral Strategy'.
 
What is 'Delta Neutral Strategy'?

Delta is the amount by which an option price is expected to move based on an Rs1 change in the underlying stock. Delta Neutral strategy refers to any strategy where the sum of your deltas is equal to zero. Buying both the call option and the put option simultaneously at the money strike price is a popular delta neutral options trading strategy, called a Long Straddle, in which profit accrues when the underlying stock moves up or down significantly. An At The Money (ATM) call option has a delta value of 0.5 and an ATM put option also has a delta value of -0.5. Buying both the call option and put option results in a delta neutral position with '0' delta value, i.e. 0.5 (call option) - 0.5 (put option) = 0 Delta 

Click here for a list of High Beta Stocks
 
How much would be the maximum risk and reward?

Risk: Limited to the initial premium paid. Reward: Unlimited