Long Straddle
Description
Buying a call and a put at the same strike and expiry, profiting from a large move in either direction.
Setup
- Buy one call at the money.
- Buy one put at the same strike and expiry.
Context
Used ahead of an event expected to cause a large move but whose direction is unknown, such as an earnings release or a major announcement.
Risk Profile
Maximum loss is the combined premium paid, realized if the underlying finishes exactly at the strike. Gain is unlimited on a large enough move in either direction.
Pros
- Profits from a big move regardless of direction.
- Simple, symmetric structure.
- No need to predict direction, only magnitude.
Cons
- Two premiums to pay makes the breakeven range wide.
- Loses value quickly if the underlying stays quiet.
- Needs a large move just to cover the combined cost.
Effect of Time
Time decay is the biggest enemy: both long options bleed value every day the underlying fails to move.
Effect of Volatility
A rise in implied volatility benefits both legs and can produce a profit even without the underlying moving.
Look-Alike Strategies
Live Structure
| Position | Right | Ratio | Strike | Expiry | Premium | Fill Price | Est. Fee |
|---|---|---|---|---|---|---|---|
| Long | Call | 1 | $84500.0000 | 24 Sep 2026 | $181.3661 | $202.4552 | $22.6708 |
| Long | Put | 1 | $84500.0000 | 24 Sep 2026 | $324.7800 | $354.3054 | $25.3075 |
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 |
|---|---|---|---|
| $67600.0000 | $16900.0000 | $16393.8539 | +3239.0% |
| $83993.8539 breakeven | $506.1461 | $0.0000 | +0.0% |
| $84356.3300 current | $143.6700 | -$362.4761 | -71.6% |
| $84500.0000 | $0.0000 | -$506.1461 | -100.0% |
| $85006.1461 breakeven | $506.1461 | $0.0000 | +0.0% |
| $101400.0000 | $16900.0000 | $16393.8539 | +3239.0% |