Implied volatility calculator
The volatility and move an option price carries.
Free risk tools
Straddle and strangle calculator
How far the price must move for a bought straddle or strangle to pay, or how far a sold one can stand.
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The options
The break-evens
Buying this straddle costs $680.00, the most it can lose. It makes money if the price ends below 93.20 or above 106.80.
- Move it needs
- 6.8% down or 6.8% up from 100.00 by expiry, before it makes money.
- Compare
- Check that move against the expected move or the implied volatility: the market usually prices the move about right, so the edge is in knowing it better.
The result on expiry at other prices, for the whole position.
| Price on expiry | Move | Result |
|---|---|---|
| 80.00 | -20.0% | +$1,320.00 |
| 90.00 | -10.0% | +$320.00 |
| 93.20 | -6.8% | $0.00 |
| 100.00 | +0.0% | -$680.00 |
| 106.80 | +6.8% | $0.00 |
| 110.00 | +10.0% | +$320.00 |
| 120.00 | +20.0% | +$1,320.00 |
Education only, not investment advice. The answer comes from the numbers you typed in, not from your account or the market. Simulated results are hypothetical and have limits: real trading has slippage, gaps, changing results and emotions. Trading leveraged products can lose money quickly, including all of it. Risk warning
Educational only, not financial advice; trading involves risk.
A bet on the size of the move
A straddle buys a put and a call at the same strike; a strangle buys them at two strikes, cheaper but needing a bigger move. Either way the trade does not care about direction, only about distance: it pays if the price moves further than the two premiums, and loses them if it stays put. Traders use them around earnings and big news.
Selling one is the opposite bet: you keep the premiums if the price stays calm, and the loss on a big move has no ceiling on the upside. Before either, compare the move needed with the move the options already price in, using the implied volatility calculator. For a capped version, see the option spread calculator.
Not advice. Arithmetic on the numbers you type; results are on expiry and leave out fees and early assignment.
Next tools
Option spread calculator
Max gain, max loss and break-even of a vertical spread.
Expected move calculator
The usual range in a day, week or month, from volatility.
Pricing
Three ways in. Pick yours.
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Baroq never holds your money and never trades for you. Educational only, not financial advice; trading involves risk.