Long straddle
Buy ATM call + put: pays off on a large move either way.
Payoff at expiry — live BTC example
- Buy 78,000 call
- Buy 78,000 put
Entry greeks (per 1 BTC notional): Δ -0.049 · Γ 0.5500 per 1% · vega $11.10/pt · theta $-3850.50/day
30-day backtest — daily expiries
real expired-contract marks · updated 2026-08-20| Underlying | Days | Win rate | Avg/day | Total | Profit factor | Max DD |
|---|---|---|---|---|---|---|
| BTC | 30 | 33% | -0.228% | -6.84% | 0.38 | 8.24% |
| ETH | 30 | 20% | -0.432% | -12.97% | 0.34 | 14.36% |
Daily-expiry replay: enter 24h before settlement at the mark close, settle at intrinsic vs the 11:00 UTC spot close. Mark fills, no fees or spread. P&L in % of entry spot per 1 unit of notional. Past performance of a mechanical replay is not indicative of future results.
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.