Big Lizard option strategy
Big Lizard is a short ATM straddle with an OTM Call bought to cap the upside. It collects more premium than a Jade Lizard and profits most if the underlying stays at the strike.
Payoff at expiry
Nifty, lot size 65 · Nifty future 22,650 · 6 Oct 2026Legs
| Action | Option | Strike | Lots | Qty | Premium |
|---|---|---|---|---|---|
| SELL | ATM Call | 22,650 | 1 | 65 | ₹135.48 |
| SELL | ATM Put | 22,650 | 1 | 65 | ₹135.68 |
| BUY | OTM Call | 22,750 | 1 | 65 | ₹91.62 |
How it works
- Sell 1 ATM call at the 22,650 strike for ₹135.48, collecting the premium.
- Sell 1 ATM put at the 22,650 strike for ₹135.68, collecting the premium.
- Buy 1 OTM call at the 22,750 strike for ₹91.62, paying the premium.
- You receive a net ₹11,670 upfront for the position. This is the most you can make.
Below 22,470 you lose, and the loss grows as Nifty falls.
Above 22,470 you profit, up to ₹11,657.
Set-up: Sell 1 lot ATM Call, Sell 1 lot ATM Put and Buy 1 lot OTM Call with same expiration date.
What happens if Nifty moves
Profit or loss at expiry| Nifty at expiry | Move | Profit / loss |
|---|---|---|
| 21,300 | −6% | −₹76,080 |
| 21,950 | −3% | −₹33,830 |
| 22,400 | −1% | −₹4,580 |
| 22,650 | Unchanged | +₹11,670 |
| 22,900 | +1% | +₹5,170 |
| 23,350 | +3% | +₹5,170 |
| 24,000 | +6% | +₹5,170 |
How the Greeks affect it
When to use
When you expect the underlying to stay close to the current level with a mildly bullish tilt and implied volatility is high.
- Large premium from the short straddle.
- Upside risk is capped by the bought call.
- Strong time decay benefit.
Things to watch
- Downside risk is uncapped.
- Profit zone is narrow around the strike.
- Requires margin.
Big Lizard: questions
What is a Big Lizard strategy?
Big Lizard is a short ATM straddle with an OTM Call bought to cap the upside. It collects more premium than a Jade Lizard and profits most if the underlying stays at the strike.
When should you use a Big Lizard?
When you expect the underlying to stay close to the current level with a mildly bullish tilt and implied volatility is high.
How do you set up a Big Lizard?
Sell 1 lot ATM Call, Sell 1 lot ATM Put and Buy 1 lot OTM Call with same expiration date.
What is the maximum profit of a Big Lizard?
Limited to the net credit received, if the underlying closes at the straddle strike at expiry.
What is the maximum loss of a Big Lizard?
Substantial below the strike, as the short put loses with every fall. On the upside the loss is capped at the call spread width less the credit.
What is the breakeven of a Big Lizard?
With Nifty at 22,650, the example on this page breaks even at 22,470 at expiry.