Spot still at 100
Both options expire out of the money. You lose the 20 debit — the worst case until spot exits 90–110.
- Expiry P&L
- −20
- Dead zone
- 90 to 110
Strangle profit calculator
Buy or sell an out-of-the-money call and put with different strikes. Cheaper than a straddle, but you need a bigger move to break even.
Defaults are a 110 call and 90 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 strangle P&L is calculated
A strangle is a call and a put with different strikes, usually both out of the money. It is a cheaper straddle: you need a bigger move before either leg pays, but the debit is smaller for the same notionals.
Expiry P&L = d × (Q × (max(S − K, 0) − V) + Q2 × (max(K2 − S, 0) − V2))
- d — +1 long, −1 short
- K — call strike (default 110); K2 — put strike (default 90)
- Same Black-Scholes live line as the straddle page, posted to /strangle/
Default premiums of 10 and 10 on 110 / 90 imply 33.79% on the call and 39.57% on the put — richer than ATM 10-priced options because those strikes are out of the money.
Worked examples
Long strangle: 110-strike call at 10, 90-strike put at 10, one lot each. Total debit 20. The chart uses this payoff for Long Strangle.
Breakevens at 70 and 130
Put strike minus debit, and call strike plus debit. You need a 30-point move from 100, versus 20 on the ATM straddle with the same 20 debit.
- Lower / upper BE
- 70 / 130
- Expiry P&L at 70 or 130
- 0
Spot at 150
Call intrinsic 40 minus 10, put expires (−10). Net +20. Call / put implied vols on the defaults are 33.79% and 39.57%.
- Long expiry P&L
- 20
- Call / put IV
- 33.79% / 39.57%
Related calculators on this site
A straddle uses one strike. An iron condor adds short wings to a strangle. Vanilla pricing marks each leg.
Strangle FAQ
The call strike sits above the put strike, so both legs can be out of the money. For the same premiums as an ATM straddle you wait for a larger move, but market OTM options usually cost less than ATM — that cheaper debit is the usual reason to choose a strangle. Compare with the straddle calculator.
Lower breakeven is the put strike minus total debit; upper is the call strike plus total debit. Defaults of 90 / 110 with a 20 debit break even at 70 and 130.
Both premiums, if spot stays between the strikes. Losses still run without a cap if spot trends hard. An iron condor sells a similar range with long wings to limit that.
A 10 price on a 10-point OTM one-year option is a rich premium, so the solver prints 33.79% (call) and 39.57% (put). Type a cheaper OTM price if you want vols closer to 30%.
A textbook strangle uses the same size on both wings. Unequal quantities leave a net directional bet; the chart will still plot whatever you enter.
European vanilla Black-Scholes on each leg, posted to this URL, using the same formula as the option calculator.
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.