Strip

The strip strategy is ideal for investors when they are bullish on volatility and bearish on market direction.

This strategy involves buying:

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

All have the same underlying asset, strike prices and expiration dates. The Strip is similar to bearish version of the Buy Straddle strategy. Large profits can be achieved with the strip strategy when the price of the underlying asset experiences a substantial move in either direction by expiration, with greater gains to be made from a downward move.

Investor View :Bearish on the direction but bullish on 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