The following is a list of straddle results performed on several ETFs on January 4 2008. This table shows the results if you had bought both calls and puts on that day. Strangles/straddles are great if you are not sure of market direction. If the market does move either way you win.
To performer was the DIA 130-126 position. DIA at the time was trading at 128.17. Yesterday's close was 121.77.
Overall, investors on DIA, SPY, and even IWM would have done very well. The only losing positions were XLF and an extreme IWM straddle.
You can view the complete list, and in much better formatting, at: http://nexalogic.com/strangles.html