Spot still at 100
Both options expire at-the-money. You lose both premiums — the worst case for a long straddle.
- Expiry P&L
- −20
- Max loss (long)
- 20
Straddle Calculator
Buy or sell a call and a put on the same strike. A long straddle needs a large move; a short straddle wants spot to sit still.
Defaults are a 100-strike call and put priced 10 each. Click Calculate, then slide spot, days, and each implied vol. Figures are theoretical and for information only.
Type a symbol, then Load or leave the field. Spot, ~30-day historical realized vol, and a US risk-free proxy are filled when the ticker is found. Strikes and target are recentered near the new spot.
Delayed/free data. Historical realized vol is not implied vol from an options chain. Not investment advice.
New Call Price:
New Put Price:
How the straddle P&L is calculated
A straddle is a call and a put on the same strike (usually ATM). Long, you pay both premiums and profit from a large move either way. Short, you collect both premiums and want spot to sit still.
Expiry P&L = d × (Q × (max(S − K, 0) − V) + Q2 × (max(K2 − S, 0) − V2))
- d — +1 for a long straddle, −1 for a short straddle
- K — call strike; K2 — put strike (set them equal for a classic straddle)
- Live P&L uses Black-Scholes on each leg, then the same long or short sign
Each premium is inverted on its own. Defaults (V = V2 = 10, K = K2 = 100) imply 23.97% on the call and 26.51% on the put, because a 10 price is not the same Black-Scholes value on both sides.
Worked examples
Long straddle, one call and one put, both struck at 100, both priced at 10. Total debit 20. The chart uses this payoff when Long Straddle is selected.
Breakevens at 80 and 120
You need a 20-point move to recoup the 20 debit. Inside that range the long straddle is still a net loser at expiry.
- Lower / upper BE
- 80 / 120
- Expiry P&L at 80 or 120
- 0
Spot at 130
Call intrinsic 30 minus 10, put expires worthless (−10). Net +10. A short straddle would print −10 here.
- Long expiry P&L
- 10
- Call / put IV
- 23.97% / 26.51%
Related calculators on this site
A strangle uses two different strikes. A butterfly caps the wings. A single long option is one of the two legs.
Straddle FAQ
When you expect a large move but do not want to pick a direction. You need the underlier to travel more than the total premium by expiry. A short straddle is the opposite view: you expect realized vol to be lower than what you sold.
For an ATM straddle they sit at strike minus total debit and strike plus total debit. With 10 + 10 on a 100 strike, that is 80 and 120.
Each premium is inverted separately. At these defaults a 10 call implies 23.97% while a 10 put implies 26.51%, because put-call parity says the ATM call should be worth a little more than the put when rates are positive (12.368 vs 11.373 at 30% on the option calculator).
Losses are unlimited on a large move. Max gain is the total premium, only if spot pins the strike. Use a butterfly or iron condor if you want the same vol view with wings.
The form allows it, but then you have a strangle. Prefer the strangle calculator when the call strike is above the put strike on purpose.
Both legs, via AJAX Black-Scholes. The live line is the signed sum of (new price − original premium) on each leg. Remaining time (days or minutes, whichever unit you calculated with) and each implied vol can be moved on their own.
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.