What Is the Risk-Reducing Effect of a “Straddle” in Options Margin Calculation?

A straddle (buying or selling a call and a put with the same strike and expiration) is considered a hedged position in a portfolio margin context. The margin requirement is lower than the sum of the individual legs because the risks partially offset: the call benefits from a price rise, and the put benefits from a price fall.

The primary remaining risk is volatility risk (Vega).