Straddle/Strangle Calculator

A straddle buys (or sells) a call and a put at the same strike; a strangle does the same at two different strikes, typically both out of the money. Both are bets on volatility itself rather than direction: a long straddle or strangle profits from a big move either way, while a short one profits from the stock staying range-bound.

This is a natural fit for earnings plays, where a stock's next move is uncertain in direction but often large in size. This calculator shows the implied move the market is pricing in before the trade turns profitable, alongside the standard breakeven and probability-of-profit figures.

How does this calculator work?

Choose straddle (same strike) or strangle (different strikes), and long (buy both legs) or short (sell both legs).

Enter the call and put strikes and premiums, the current price, an implied volatility assumption, days to expiration, and the risk-free rate.

The calculator shows the breakeven price(s), the percentage move the underlying needs to make before the trade profits (long) or loses (short), and the probability of profit under the volatility you entered.

Both are bets on implied volatility rather than direction, so the implied move shown here is really the market's volatility forecast turned into a price swing. A long position profits only if the stock moves more than that, which the probability of profit figure quantifies, while a defined-risk alternative to an unlimited short is an iron condor or vertical spread.

Worked example

A long straddle ahead of earnings: buy the $100 call for $4.50 and the $100 put for $4.30, on a stock at $100 with 35% implied volatility and 30 days to expiration.

Total premium paid

$880

Breakevens

$91.20 and $108.80

Implied move needed

8.80%

Probability of profit

≈35%

How the numbers work

Paying $8.80 total for both options means the stock needs to move more than $8.80 in either direction, an 8.80% move, before the position shows a profit at expiration.

That 8.80% figure is effectively what the options market is pricing in as the expected move for this stock, information that's often compared against a stock's typical historical earnings-day move to judge whether options are cheap or expensive going into the event.

The lower probability of profit (about 35% here) is normal for a long straddle: most of the time, the stock doesn't move enough to overcome both premiums, but the occasional large move can produce an outsized gain relative to the cost.

A long straddle or strangle isn't really a bet that a stock will go up or down. It's a bet that it will move by more than the options market currently expects, which is why the implied move figure matters more here than a simple directional target price would.