Intraday returns on option straddles display the same persistent seasonality pattern as its underlying stock, even though straddles are delta-neutral. Specifically, straddle return in a given half-hour interval today positively predicts the return in the same intraday interval tomorrow. Such a continuation pattern is most prominent at the market open and close, which we label as morning and afternoon momentum, respectively. We find that morning momentum reflects investors’ underreaction to volatility shocks, while afternoon momentum is driven by persistent inventory management by option market makers.