Short strangle
advancedneutralStrategy 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
Credit (received)
Max profit
$299.67
Max loss
Unlimited
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
Sell an OTM call and an OTM put. Wider profit zone than a short straddle, smaller credit.
When to use
You expect the stock to stay within a range until expiry.
Risks
- Loss unbounded above the call strike; large below the put strike.
- Margin intensive.