Sell Strangle

A Sell Strangle is a trading strategy employed when an investor is neutral about the market's direction but expects low volatility, anticipating that prices will remain within a narrow range. This approach involves:

Selling an Out-of-the-Money Call Option: The strike price of the call is higher than the current market price of the underlying asset.
Selling 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 Sell Strangle is a slight variation of the Sell Straddle strategy. The profit range is broader compared to the Sell Straddle, offering more flexibility. If the underlying stock exhibits minimal movement, the Sell Strangle investor retains the net premium collected from selling the options..

Investor View :Neutral on price movement and bearish on volatility of the underlying.
Potential Risk : Unlimited.
Potential Reward : Limited to the premium received.

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