Long straddle
Big moveUnlimited profitLimited loss
Buy ATM call + put: pays off on a large move either way.
Payoff at expiry — live BTC example
Net debit
$603.3
Max profit
Unlimited
Max loss
$603.3
Breakevens
65,197 / 66,403
Example legs (0.7 DTE front)
- Buy 65,800 call
- Buy 65,800 put
Entry greeks (per 1 BTC notional): Δ 0.101 · Γ 0.6945 per 1% · vega $22.92/pt · theta $-421.77/day
How it works
Long ATM call and put: direction does not matter, magnitude does — the move must exceed the total premium.
When to use it
You expect a bigger move than the market prices (event, breakout) and IV is not already inflated.
Risks & management
Double theta bleed; the position loses fast in a quiet market. Buying straddles right before events often pays peak IV.
Related structures
Example built from live Delta Exchange BTC marks on the nearest constructible expiry; numbers refresh with the chain. Educational content, not investment advice.