Short straddle
Neutral / rangeLimited profitUnlimited loss
Sell ATM call + put: maximum premium, needs price to sit still.
Payoff at expiry — live BTC example
Net credit
$603.3
Max profit
$603.3
Max loss
Unlimited
Breakevens
65,197 / 66,403
Example legs (0.7 DTE front)
- Sell 65,800 call
- Sell 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
Selling both ATM options collects the largest possible premium; profit if price expires within a band of the strike equal to the total credit.
When to use it
IV is rich relative to the move you expect — the purest short-vol expression, best when an event premium is overpriced.
Risks & management
Unlimited both ways beyond the breakevens, ferocious gamma near expiry. The vault treats these as size-small, manage-early trades.
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.