Straddle and strangle charts
Two charts of what one symbol's 30-day at-the-money straddle and 25-delta strangle cost, as a percent of the stock price.
What it answers
Two charts show what one symbol's options cost for a move over the next month, as a percent of the stock price.
- ATM Straddle shows the size of move the market prices in either direction, and how that price has changed over time.
- 25Δ Strangle shows the cost of the out-of-the-money options. This cost is the price of a large move only.
How to read it
- 1The ATM Straddle header. Its menu contains Compare, Range and Year overlay.
- 2The line is the ATM straddle price for each trading day, in percent of the stock price.
- 3The 25Δ Strangle header. Its menu contains the same three controls.
- 4The line is the 25-delta strangle price for each trading day, in percent of the stock price.
Each chart draws one line. Both use one daily record, built from the expiry nearest 30 days and no more than 15 days from it.
Straddle
The straddle is the call and the put at the strike whose call delta is nearest 0.50. That strike is the one closest to the stock price. The straddle pays for any move away from today's price. Its price is close to the market's expected one-month move.
A one-month straddle in percent of the stock price is about 0.8 times implied volatility times the square root of one twelfth. A 2.8% straddle corresponds to about 12% implied volatility.
Strangle
The strangle is a call at 25 delta above the stock price and a put at 25 delta below it. It pays only for the part of a move beyond its strikes. The strangle costs less than the straddle, so its line is lower. It rises most when traders pay more for protection.
Straddle and strangle together
Use the straddle for the size of move the market prices. Use the strangle for the premium a strangle seller collects, or the cost of out-of-the-money protection. A rise in both lines means the market prices more volatility. The charts apply no colour thresholds.
Each chart leaves a gap on a day when the daily run finds no expiry or strike near its target. The data updates once a day before the open, so the last point is the previous trading day.
Controls
The charts have no header controls. Use the header search to select the symbol. The other controls are in the widget menu.
- Compare: draws up to three symbols on one axis and turns Year overlay off.
- Range: sets the start of the chart.
- Year overlay: select No Overlay, 1Y Overlay, 2Y Overlay or 3Y Overlay.
- A year overlay draws one line per year, aligned by trading day, and turns Compare off.
| Control | What it does |
|---|---|
| ATM Straddle | |
| 25Δ Strangle | |
Use it with
- Compare symbols draws these charts for up to three symbols at once.
- The VIX charts show the volatility that the same options price, as an index.