Long straddle
advancedvolatileStrategy parameters
Greeks (current)
Delta
6.854
Gamma
9.243
Theta
-11.395
Vega
22.790
Rho
0.000
Payoff diagram
P&L at expiryP&L today (theoretical)Current spot
Key metrics
Net cost
$685.40
Debit (paid)
Max profit
Unlimited
Max loss
-$685.40
Breakevens
$93.15 · $106.85
Scenarios at expiry
| Move | Spot | P&L at expiry | % of cost |
|---|---|---|---|
| -20% | $80.00 | $1,314.60 | 191.8% |
| -10% | $90.00 | $314.60 | 45.9% |
| -5% | $95.00 | -$185.40 | -27.0% |
| +0% | $100.00 | -$685.40 | -100.0% |
| +5% | $105.00 | -$185.40 | -27.0% |
| +10% | $110.00 | $314.60 | 45.9% |
| +20% | $120.00 | $1,314.60 | 191.8% |
Mechanics & risks
How it works
Buy a call and a put at the same strike (usually ATM) and same expiry. Profits from a large move in either direction.
When to use
You expect a big move (earnings, decision, catalyst) but don't know which way.
Risks
- Pay TWO premiums — high break-even bar.
- Time decay accelerates if volatility doesn't materialize.
- Maximum loss = combined premium if the stock pins the strike at expiry.