Long Guts
Description
Buying an in-the-money call and an in-the-money put, a more expensive, higher-floor cousin of the long strangle built entirely from in-the-money strikes.
Setup
- Buy one in-the-money call, struck below the current price.
- Buy one in-the-money put, struck above the current price, same expiry.
Context
Used like a long strangle, for an expected big move in either direction, when the trader wants more built-in intrinsic value and is willing to pay more for it.
Risk Profile
Maximum loss is the combined premium paid, minus the intrinsic value already built into both strikes at entry, realized if the underlying finishes between the two strikes. Gain is unlimited on a large enough move in either direction.
Pros
- More intrinsic value cushion than a strangle built from out-of-the-money strikes.
- Profits from a big move regardless of direction.
- Narrower time-value component than a straddle at the same strikes distance.
Cons
- Much higher cost of entry than a comparable strangle.
- Ties up significantly more capital for a similar payoff shape.
Effect of Time
Time decay works against the position, though a smaller share of the premium is pure time value compared to an out-of-the-money strangle.
Effect of Volatility
A rise in implied volatility benefits both legs.
Look-Alike Strategies
Live Structure
| Position | Right | Ratio | Strike | Expiry | Premium | Fill Price | Est. Fee |
|---|---|---|---|---|---|---|---|
| Long | Call | 1 | $84000.0000 | 24 Sep 2026 | $570.0046 | $633.3385 | $25.3335 |
| Long | Put | 1 | $85000.0000 | 24 Sep 2026 | $654.4523 | $844.4546 | $25.3336 |
Estimated Cost to Assemble
An estimate of what entering this structure right now would really cost: filling every leg by crossing the spread (the ask when buying, the bid when selling) instead of at the mid-price, plus an estimated exchange fee. Real fees and fills can differ from this estimate.
Payoff & Greeks vs. Underlying Price
The Greeks curves are a Black-Scholes model using each leg's current implied volatility, holding time to expiry fixed -- not live exchange data at every price, which only exists at the current price (dashed line).
Payoff at Expiration
This structure's value and profit/loss at expiration, at a handful of specific prices: every leg's strike, every breakeven, the current spot, and the chart's own range.
| Underlying Price | Value at Expiration | Profit / Loss | Return on Cost |
|---|---|---|---|
| $83000.0000 | $2000.0000 | $775.5431 | +63.3% |
| $83775.5431 breakeven | $1224.4569 | $0.0000 | +0.0% |
| $84000.0000 | $1000.0000 | -$224.4569 | -18.3% |
| $84445.1300 current | $1000.0000 | -$224.4569 | -18.3% |
| $85000.0000 | $1000.0000 | -$224.4569 | -18.3% |
| $85224.4569 breakeven | $1224.4569 | $0.0000 | +0.0% |
| $86000.0000 | $2000.0000 | $775.5431 | +63.3% |