Short straddle
Sell ATM call + put: maximum premium, needs price to sit still.
Payoff at expiry — live BTC example
- Sell 75,200 call
- Sell 75,200 put
Entry greeks (per 1 BTC notional): Δ -0.013 · Γ -0.5092 per 1% · vega $-16.34/pt · theta $1735.71/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 | 67% | +0.228% | +6.84% | 2.63 | 1.37% |
| ETH | 30 | 80% | +0.432% | +12.97% | 2.98 | 4.97% |
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
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.