Strangle Profit Calculator

A strangle strategy consists in buying a same quantity of calls and puts with a different strike price, usually both out of the money. This strategy is effective when you expect a big move from the underlying asset but don't know in which direction. On the contrary, a short strangle consists in selling these options if you expect little volatility. A strangle is similar to a straddle, except that in the strangle case, the cost is lower but you need a bigger move to exercise one of the legs.

This calculator displays the payoff of your strategy at maturity depending on the underlying asset price. It also gives you tools to estimate the profit and loss (P&L) of your strategy before maturity by giving you control over price, time and volatility variables (i.e. it lets you see how your options' price varies alongside a price and/or time/volatility changes).

Step 1: select your option strategy type ('Long Strangle' or 'Short Strangle')
Step 2: enter the underlying asset price and risk free rate
Step 3: enter the maturity in days of the strategy (i.e. all options have to expire at the same date)
Step 4: enter the option price and quantity for each leg (quantity is expected to be the same for each leg)
Step 5: click "Calculate"
Step 6 (optional): you can modify the spot price, number of days before expiry or implied volatility through the controls below the chart to simulate the P&L of your strategy and see how it fares under new market conditions (note that this is theoretical though).

Spot Price Maturity (Days) Option 1 Imp. Vol. Option 2 Imp. Vol. New Call Price: New Put Price:

Disclaimer: the contents of this website are for informational purposes only and do not constitute any investment recommendation. The visitor acts at his own risk.