Long strangle
Buy OTM call + put: cheap convexity, needs a big move.
Payoff at expiry — live BTC example
- Buy 75,600 call
- Buy 73,400 put
Entry greeks (per 1 BTC notional): Δ 0.027 · Γ 0.3262 per 1% · vega $11.62/pt · theta $-911.54/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 | 7% | -0.101% | -3.02% | 0.24 | 3.59% |
| ETH | 30 | 10% | -0.231% | -6.93% | 0.36 | 8.32% |
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 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.