Max profit
$571.75
Short straddle calculator
Sells a put and a call at the same strike for the largest credit, betting the price barely moves. Enter your strikes and price to see the maximum profit, maximum loss, breakevens, profit chance and expected value.
Leave the price empty to estimate it from implied volatility. Results are per contract (100 shares), held to expiration.
Estimated credit: $571.75 per contract (from implied volatility; type your real price above)
Max loss
Unlimited
Breakevens
$94.28 / $105.72
Profit chance ?
57.5%
Expected value ?
+$114.31
Get the full verdict on this trade
Free, no account. The app adds volatility skew, exit plans, position sizing and a plain-English verdict.
How to use the short straddle calculator
- Enter the stock's price, the days left until expiration and the implied volatility from your option chain.
- Enter each strike. Then type the credit you'd receive per share, or leave it empty for an estimate.
- Add the stock's realized volatility to see expected value: what the trade makes on average if the stock keeps moving the way it has been.
Worked example
Say a stock trades at $100, options price in 25% implied volatility, and the stock has really been moving about 20% a year (its realized volatility). With 30 days to expiration, a short straddle at strikes 100 / 100 collects about $5.72 per share, or $571.75 per contract.
- Max profit: $571.75
- Max loss: unlimited (a big enough move keeps costing more)
- Breakevens: $94.28 and $105.72
- Profit chance, market-implied: 57.5%
- Expected value with 20% realized volatility: +$114.31 per contract
The expected value is positive here only because the stock is assumed to move less than options price in (20% vs 25%). If it moves more, the same trade can have negative expected value. That gap between implied and realized volatility is what the full app checks first.
What is a short straddle?
A short straddle sells an at-the-money put and call at the same strike.
How it makes or loses money
It collects the most premium of any neutral trade and earns it all only if the price finishes exactly at the strike. Any move eats into it, and big moves lose without limit.
When traders use it
Used when you expect a very quiet market and implied vol is high relative to realized.
Profit and loss at expiration
- Max profit: the credit, at the strike
- Max loss: uncapped
- Breakevens: strike plus or minus the credit
The Greeks
| Greek | Sign |
|---|---|
| Delta | ≈ 0 |
| Theta | + (high) |
| Vega | − |
| Gamma | − (high) |
What to watch out for
- Very high gamma near expiration: small moves swing the P&L a lot.
- Size on the stress loss; a single trend day can be a large loss.
Questions
What is the max profit on a short straddle?
The credit, at the strike. In the example above that's $571.75 per contract.
What is the max loss on a short straddle?
Uncapped. There's no fixed cap, so size it on a stress move, not on a max loss.
How do you calculate the breakeven of a short straddle?
Strike plus or minus the credit. The calculator works it out from your strikes and price.
What does "profit chance" mean here?
It's the market-implied chance that the trade finishes with any profit at expiration, if the stock moves as much as implied volatility prices in. It assumes you hold to expiration and uses one volatility for every strike. A high profit chance doesn't mean a good trade: small, frequent wins can still lose money overall if the losses are large.
What's the difference between implied and realized volatility?
Implied volatility is how much movement option prices assume. Realized volatility is how much the stock has actually been moving. Option sellers tend to come out ahead on average when realized stays below implied, and buyers when it runs above. Expected value in this calculator uses the realized volatility you enter.
Is a short straddle a good trade?
This calculator can't tell you that, and neither can anyone who doesn't know your account, goals and risk tolerance. It shows the math for the numbers you enter. Whether those numbers hold up depends on the price you actually get, how the stock moves and how you manage the trade.