Straddles & strangles
A very big move, either way
Debit
Risk: Defined: the premium paid
Long strangle
Also called: Buy strangle
Buy an out-of-the-money call and an out-of-the-money put: cheaper than a straddle, but the move must be larger before it pays.
Payoff sketch (per unit, index points)
At expiry
Today (7 days left)
Net premium
Debit 195 pts
Max profit
Unlimited above the chart
Max loss
−195 pts (₹12,660 per lot)
Breakeven
24,605 / 25,395
How it works
Both options start out of the money, so the position needs the underlying to travel past a strike and then beyond the premium paid.
It costs less than a straddle and loses less in a quiet market, but the breakevens are further away.
When traders use it
- Expecting an unusually large move without a view on direction.
- Holding inexpensive tail protection on both sides.
Greeks
| Delta | Near zero at entry. |
| Gamma | Positive, growing as the price approaches either strike. |
| Theta | Negative. |
| Vega | Positive. |
Profit, loss and margin
| Max profit | Unlimited on the upside; large on the downside. |
| Max loss | Both premiums plus charges, if the underlying settles between the strikes. |
| Breakeven | Call strike + total premium; put strike − total premium. |
| Margin | No margin: both premiums are paid upfront. |
In India
- Buyers pay the full premium upfront and need no further margin; the most they can lose is the premium plus charges.
- A long option that finishes in the money is exercised automatically. STT is then charged on its intrinsic value at the exercise rate (0.15% from 1 April 2026 in Arthfy's cost model), instead of the sale rate on the premium (also 0.15%) that applies when the option is sold before the close. See the lesson on the STT exercise trap.
- Since 20 November 2024 each exchange keeps one weekly index expiry: NIFTY on NSE and SENSEX on BSE. Since September 2025 NSE contracts expire on Tuesdays and BSE contracts on Thursdays. BANKNIFTY, FINNIFTY, MIDCPNIFTY and stock options expire monthly (NSE on the last Tuesday). A holiday moves the expiry to the previous trading day.
Arthfy numbers
Arthfy numbers
Long strangle: what it did since 2016
0-2 d
3-7 d
8-15 d
16-30 d
31-45 d
Try it in the F&O hub
Opens the tool with this structure on today's NIFTY chain. Reading is free with an Arthfy account; some runs use free attempts.Open in the builderPayoff, Greeks, scenario grid and charges on today's NIFTY chain
Backtest since 2016Daily data, every NIFTY expiry
Replay on expiry daysMinute data since October 2024
Open the option chainLive premiums, IV and Greeks
Related
For education: how the structure works and what it did historically, not a recommendation to trade it.
