Straddle option strategy
Straddle is a volatility strategy that aims to make money either ways from a stock/index soaring up or plummeting down.
Payoff at expiry
Nifty, lot size 65 · Nifty future 24,999 · 9 Nov 2026Legs
| Action | Option | Strike | Lots | Qty | Premium |
|---|---|---|---|---|---|
| BUY | ATM Call | 25,000 | 1 | 65 | ₹121.64 |
| BUY | ATM Put | 25,000 | 1 | 65 | ₹123.14 |
How it works
- Buy 1 ATM call at the 25,000 strike for ₹121.64, paying the premium.
- Buy 1 ATM put at the 25,000 strike for ₹123.14, paying the premium.
- You pay a net ₹15,911 upfront for the position. This is the most you can lose.
Below 24,755 you profit, and profit grows as Nifty falls.
Between 24,755 and 25,245 you lose, up to ₹15,911.
Above 25,245 you profit, and profit keeps growing as Nifty rises.
Set-up: Buy 1 lot ATM Call and 1 lot ATM Put with same expiration . Expiry is at distant away to avoid exponential time decay that happens as expiration approaches.
What happens if Nifty moves
Profit or loss at expiry| Nifty at expiry | Move | Profit / loss |
|---|---|---|
| 23,500 | −6% | +₹81,589 |
| 24,250 | −3% | +₹32,839 |
| 24,750 | −1% | +₹339 |
| 25,000 | Unchanged | −₹15,911 |
| 25,250 | +1% | +₹339 |
| 25,750 | +3% | +₹32,839 |
| 26,500 | +6% | +₹81,589 |
How the Greeks affect it
When to use
Outlook is Directional Neutral in Straddle;You are looking forward for increasing volatility with stock price moving explosively in either direction.
- Being Directional Neutral, you can participate in either ways volatility jumps.
- Ideal to trade Straddle for stocks where earning is due to announce.
Things to watch
- Time decay is harmful to Straddle.
- Time day accelerates exponentially in last week of expiry.
- As cost to establish Straddle is significantly high. If stock fails to give desired move, one can lose the premium.
Straddle: backtested on NSE data
Real backtests of this structure on NSE data, each with its exact rules, a year of results before and after costs, and where it made and lost money.
- Results run-up long straddle4 trades
- Long straddle gamma scalp111 trades
- Pre-Budget straddle1 trades
Straddle: questions
What is a Straddle strategy?
Straddle is a volatility strategy that aims to make money either ways from a stock/index soaring up or plummeting down.
When should you use a Straddle?
Outlook is Directional Neutral in Straddle;You are looking forward for increasing volatility with stock price moving explosively in either direction.
How do you set up a Straddle?
Buy 1 lot ATM Call and 1 lot ATM Put with same expiration . Expiry is at distant away to avoid exponential time decay that happens as expiration approaches.
What is the maximum profit of a Straddle?
Maximum Profit is unlimited beyond Lower BEP (Strike minus premium) or Higher BEP (Strike plus premium).
What is the maximum loss of a Straddle?
It is Net debit Strategy as you have bought both Call & Put. Maximum Loss is limited to total premium paid.
What is the breakeven of a Straddle?
With Nifty at 24,999, the example on this page breaks even at 24,755 and 25,245 at expiry.
Watch: Straddle videos
15:32Straddle vs Strangle: Simple Ways to Tell Them Apart
5:00Straddle Index: Combined Premium of Straddles
40:00Volatility Trading with Long and Short Straddle (Hindi)