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Volatility strategies5 minute read
Long straddle vs long strangle
Compare the cost, break-even distance, and movement required by two long-volatility option strategies
由 Mark 撰寫 · 官方資料列於文末
直接解答
A long straddle buys a call and put at the same strike, often near the stock price. A long strangle buys an out-of-the-money call and put at different strikes. The strangle may cost less, but the stock generally must travel farther to reach either expiration break-even. Both positions can lose their entire debit when movement and volatility do not support the premium paid
The strikes set the distance
For a straddle, the upper and lower expiration break-evens are the common strike plus or minus total premium. For a strangle, use the call strike plus total premium and the put strike minus total premium. The wider strikes are a real tradeoff for the lower cost
Both legs carry time and volatility exposure
A long call and long put can each lose time value while the stock stays near the middle. If implied volatility falls after an event, both premiums can decline even when the eventual stock move is nonzero
Use the market-implied move as context
An expected move can help frame what options price, but it is not a promise. Compare the strategy's break-evens, spreads, and expiration with the position's maximum loss rather than selecting a structure from one headline number
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