Strip (bearish straddle)
Big moveUnlimited profitLimited loss
Long straddle with 2 puts: wants a big move, leaning bearish.
Payoff at expiry — live BTC example
Net debit
$2,086
Max profit
Unlimited
Max loss
$2,086
Breakevens
78,357 / 81,486
Example legs (0.9 DTE front)
- Buy 79,400 call
- Buy 2× 79,400 put
Entry greeks (per 1 BTC notional): Δ -0.476 · Γ 0.5430 per 1% · vega $48.25/pt · theta $-1112.77/day
How it works
One ATM call plus two ATM puts: a straddle with double payoff on the downside.
When to use it
You expect violence with a bearish skew — crash-hedged event exposure.
Risks & management
Three premiums of theta. Needs an even larger move than a straddle to pay on the upside.
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.