Buy Strangle

A Buy Strangle is a strategy used when the investor is neutral on market direction but expects high volatility in the underlying asset.This strategy involves:

Buying an Out-of-the-Money Call Option: The strike price of the call is higher than the current market price of the underlying asset.
Buying an Out-of-the-Money Put Option: The strike price of the put is lower than the current market price of the underlying asset.

Additionally, the call option's strike price is higher than the put option's strike price. Both options have the same expiration date and underlying asset. The Buy Strangle is a cost-effective variation of the Buy Straddle since both options are out of the money, reducing the total premium paid. The investor profits when the underlying asset makes a significant price move—either upward or downward—beyond the break-even points. The strategy has limited downside risk but unlimited upside potential.

Investor View : Neutral on direction but bullish on volatility of the underlying.
Potential Risk : Limited to the premium paid.
Potential Reward : Unlimited.

Input Data

Option Style:

Option Type:

Asset Type:

Number of Shares (Notional in domestic(base) currency):

Stock (Spot or Future) Price :

Days to Maturity:

Strike Price(Call) :

Strike Price(Put) :

Start date:

End date(Maturity):

Moneyness(Call) :

Moneyness(Put) :

Volatility(Call) (%):

Volatility(Put) (%):

Risk-Free Rate (Domestic Risk-Free Rate) (%):

Dividend Yield (Foreign Risk-Free Rate) (%):

Output Data

Parameter	Call	Put	Total
Option value (Premium)	N/A	N/A	N/A
Option Payoff	N/A	N/A	N/A
Profit/Loss	N/A	N/A	N/A
Delta	N/A	N/A	N/A
Gamma	N/A	N/A	N/A
Vega	N/A	N/A	N/A
Theta	N/A	N/A	N/A
Rho	N/A	N/A	N/A