Long strangle
advancedvolatileStrategy parameters
Greeks (current)
Delta
6.767
Gamma
7.806
Theta
-9.671
Vega
19.248
Rho
0.310
Payoff diagram
P&L at expiryP&L today (theoretical)Current spot
Key metrics
Net cost
$299.67
Debit (paid)
Max profit
Unlimited
Max loss
-$299.67
Breakevens
$92.00 · $108.00
Scenarios at expiry
| Move | Spot | P&L at expiry | % of cost |
|---|---|---|---|
| -20% | $80.00 | $1,200.33 | 400.6% |
| -10% | $90.00 | $200.33 | 66.9% |
| -5% | $95.00 | -$299.67 | -100.0% |
| +0% | $100.00 | -$299.67 | -100.0% |
| +5% | $105.00 | -$299.67 | -100.0% |
| +10% | $110.00 | $200.33 | 66.9% |
| +20% | $120.00 | $1,200.33 | 400.6% |
Mechanics & risks
How it works
Buy an OTM call and an OTM put. Cheaper than a straddle but needs a bigger move to profit.
When to use
You expect a very large move and want a cheaper entry than a straddle.
Risks
- Cheaper but lower probability than a straddle.
- Time decay still hurts.
- Both options can expire worthless.