Short Straddle
Description
Selling a call and a put at the same strike and expiry, collecting double premium on a bet that the underlying stays close to the strike.
Setup
- Sell one call at the money.
- Sell one put at the same strike and expiry.
Context
Used when a large move is considered unlikely and implied volatility looks rich relative to the expected actual movement.
Risk Profile
Maximum gain is the combined premium collected, realized if the underlying finishes exactly at the strike. Loss grows without bound on a large move in either direction.
Pros
- Collects two premiums at once.
- Profits from time decay every day the underlying stays near the strike.
- Benefits from a drop in implied volatility.
Cons
- Unlimited loss potential on a large move.
- Requires significant margin.
- A single sharp move can erase a long run of small wins.
Effect of Time
Time decay strongly favors the position; both short options lose value every day the underlying stays near the strike.
Effect of Volatility
A rise in implied volatility hurts the position by inflating the value of both short options.
Look-Alike Strategies
Live Structure
| Position | Right | Ratio | Strike | Expiry | Premium | Fill Price | Est. Fee |
|---|---|---|---|---|---|---|---|
| Short | Call | 1 | $84500.0000 | 24 Sep 2026 | $198.3766 | $177.2727 | $24.7971 |
| Short | Put | 1 | $84500.0000 | 24 Sep 2026 | $287.0130 | $261.6883 | $25.3247 |
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 | -$16414.6104 | -3381.7% |
| $84014.6104 breakeven | -$485.3896 | $0.0000 | +0.0% |
| $84415.5900 current | -$84.4100 | $400.9796 | +82.6% |
| $84985.3896 breakeven | -$485.3896 | $0.0000 | +0.0% |
| $101400.0000 | -$16900.0000 | -$16414.6104 | -3381.7% |