Strap

The strap strategy is ideal for investors who are optimistic about both market volatility and an upward movement in the price of the underlying asset. This approach involves purchasing:

1: Two at-the-money call options and
2: One at-the-money put option.

All have the same underlying asset, strike prices and expiration dates.The strap is essentially a bullish variation of the standard Buy Straddle strategy. Significant profits can be achieved with the strap strategy when the price of the underlying asset experiences a substantial move in either direction by expiration. However, the strategy is particularly rewarding when the price rises sharply.

Investor View :Bullish on price direction and volatility of the underlying asset.
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):

Moneyness(Call) :

Moneyness(Put) :

Stock (Spot or Future) Price :

Strike Price(Call and Put) :

Start date:

End date(Maturity):

Days to Maturity:

Volatility (%):

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