Straddles &Strangles
Track automatic ATM straddle and custom straddle/strangle premiums over time for index and stock options.
What this page tracks
The combined premium of a straddle or strangle, charted through the session against the underlying price. Automatic mode follows the at-the-money straddle and rolls it as spot moves; custom mode lets you pick your own legs for a strangle or an off-centre straddle. Straddle open interest is overlaid, so you see whether the structure is being bought into or sold down while its price moves.
How to read the chart
- The premium is the market's price for movement — a straddle only pays if the underlying travels further than the premium cost, so that number is the market's own estimate of how far it will go.
- Compare premium against the move — if spot travelled a long way but the premium finished lower, movement was already paid for that morning — the classic way long premium loses on a day that looked volatile.
- The at-the-money straddle is the expected move — spot plus or minus the ATM straddle price is the range the options market is pricing by expiry.
- Straddle OI — shows whether the structure is being accumulated or unwound, which tells you what other traders are doing with the same view.
- Decay is not linear — premium bleeds faster as expiry approaches, so a flat chart late in the week is a position quietly losing money.
Frequently asked questions
A straddle buys or sells a call and a put at the same strike, usually at the money. A strangle uses different strikes, typically both out of the money, which costs less and needs a bigger move to pay off.
Because the combined premium is what you actually pay or receive, and it is what has to be beaten by the move. Watching the legs separately hides the fact that a gain on one is usually offset by a loss on the other.
Directly — the at-the-money straddle price is the expected move. Spot plus or minus that premium is the band the options market is pricing between now and expiry.