Long strangle
Big moveUnlimited profitLimited loss
Buy OTM call + put: cheap convexity, needs a big move.
Payoff at expiry — live BTC example
Net debit
$66.39
Max profit
Unlimited
Max loss
$66.39
Breakevens
64,734 / 67,066
Example legs (0.7 DTE front)
- Buy 67,000 call
- Buy 64,800 put
Entry greeks (per 1 BTC notional): Δ -0.001 · Γ 0.2591 per 1% · vega $9.27/pt · theta $-184.83/day
How it works
Long OTM call and put: cheaper than a straddle, but the move must carry past a strike plus both premiums.
When to use it
You want cheap exposure to a violent move and accept a low hit rate.
Risks & management
Most expire worthless. The temptation is oversizing because each unit is cheap — the burn rate compounds.
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.