In case your are interested. https://www.lightspeed.com/webinar/discover-scientific-option-trading/ https://cmlviz.com/
I did not mention that I am trying to apply this strategy in combination with long underlying ( XLU ). Back to your question, If it breaks up and stayed there, then my gain on the underlying should defray some of the loss. Also the the short straddle should expire worthless and should cover the cost of the lower wing after the first trade; the next short straddle should cover some of the cost of the upper wing. You can adjust further and buy extra leap puts at the new XLU price and the target of your next short straddle should be in between the wings. If XLU breaks down, then you can take some profit and close the upper wing for a profit; you will be left with 3 puts bull spread which can be converted to a butterfly by buying 3 long puts at a strike above the short straddle.
Selling a 49/48 bull put spread is a bullish position which does not fit my goal of hedging the underlying.
I get that. My point is that the wings offer no gearing. You could be at B/E on the short combo and still lose on the wings on a rally due to vega. Probably not a lot, but the wings aren't a hedge if they don't reduce your gamma exposure. The front-month is a gamma trade, the LEAPS will be pure vola until you've lost perhaps 40% on your front-month combo.
so, do suggest to add a long call or call bull spread will fix the issue ?. Also, I can sell the lower wing and buy a higher ATM PUT then sell another strangle ( with the previous upper wing is now the lower wing ).
Selling a 49/48 bull put spread is a bullish position which does not fit my goal of hedging the underlying.
Shorten the term-structure. Adding LEAPS does almost nothing to reduce your gamma. An ATM straddled calendar is simply a two-lot calendar. Going otm doesn't change the exposure very much, unless you're a sigma otm, and then you run the risk of spot trading outside one of the wing strikes (of the calendar) and risk both trades being losers. Sure vol will rise, but more than your gamma? Who knows. Spot at 100. You buy the 90/110 calendars. You're needing a pin of either strike for max gain. Better, IMO, to embed small flies. Worried about vola loss if we trade higher? LEAPS are all vola, so you go long spot. Spot risk is now predominate. It's probably why Robert suggested a bull vertical. IMO, one of the worst trades, whether vertical (1, 2 term) or horizontal (1, 10 term). You'll not be satisfied with the PNL curve, even if you're pinned to one of the strikes.