Short straddle
advancedneutralStrategy 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
Credit (received)
Max profit
$685.40
Max loss
Unlimited
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
Sell an ATM call and an ATM put. You collect both premiums and profit if the stock pins the strike. Both sides have unbounded loss potential.
When to use
You expect very low realized volatility through expiry. Advanced traders only.
Risks
- Loss is **unlimited** on the upside (short call) and very large on the downside (short put).
- Margin requirements are high.
- Pin risk near expiry.