I am setting up a delta-neutral position using options only. My goal is to trade implied volatility having always a delta-neutral position. My question is, is there any difference if I do it with at the money options, in the money options or out of the money options?
Since it's a delta-neutral position, I assume it's equivalent to set up a position with out of the money options or in the money options. Am I wrong?
i.e Is it too dangerous to buy OTM options even if it's delta-neutral?