Short strangle
Sell OTM call + put: wider profit zone than a straddle, less premium.
Payoff at expiry — live BTC example
- Sell 79,400 call
- Sell 77,000 put
Entry greeks (per 1 BTC notional): Δ -0.042 · Γ -0.3132 per 1% · vega $-15.82/pt · theta $524.17/day
30-day backtest — daily expiries
real expired-contract marks · updated 2026-08-21| Underlying | Days | Win rate | Avg/day | Total | Profit factor | Max DD |
|---|---|---|---|---|---|---|
| BTC | 30 | 93% | -0.180% | -5.40% | 0.42 | 8.99% |
| ETH | 30 | 90% | -0.298% | -8.93% | 0.55 | 16.44% |
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
Short OTM call and put: keep the credit while price stays between the strikes; risk opens beyond either wing.
When to use it
The workhorse premium-selling structure: elevated IV, a range thesis, and strikes set beyond the expected move.
Risks & management
Tail risk both sides with a much smaller credit than the straddle. Discipline on the losing side (roll or close at a multiple of credit) is the whole game.
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.