Options & Derivatives

Straddle

A long call and long put at the same strike and expiry - a direction-neutral bet on movement.

Payoff is a V. Long gamma, long vega, short theta. Profits if the underlying moves far enough either way to cover the combined premium.

The trap that gets asked. Buying a straddle into a known event often loses even when the move happens, because implied volatility is elevated beforehand and collapses afterwards. The vol crush can outweigh the gain from the move.

A strangle is the cheaper version using out-of-the-money strikes, needing a larger move to pay.

Full guide

Straddles, Strangles and Spreads

The standard option structures, what each expresses, and how to reason about their payoffs quickly in an interview.

Related terms

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