long-straddle

A long straddle profits from volatility spikes by buying both an ATM call and ATM put on the same expiry, allowing you to gain from large price moves in either direction. This strategy works best ahead of earnings or binary events when implied volatility (IV) is mispriced and expected moves are high.

Theta decay is the daily loss in option value as expiry approaches. Long straddles are theta-negative, meaning they lose value each day even without price movement. This requires careful entry timing and exit management, typically with 30–60 days to expiry (DTE) to balance premium cost against decay risk.

Breakeven analysis calculates the price levels where your position recovers its upfront premium cost. Greeks exposure metrics—delta, gamma, vega—show your position's sensitivity to price, volatility, and time. This Skill provides structured frameworks for these calculations using numpy, pandas, and scipy.

Entry timing targets IV expansion scenarios and earnings catalysts; exit rules manage theta decay and realized volatility realization. This Skill provides data-driven entry/exit guidelines, position sizing rules, and risk-management protocols tailored to ATM straddles with 30–60 DTE on liquid equities.

Long straddles work best on liquid equities with predictable catalysts and sufficient IV levels. This Skill focuses on ATM straddles and assumes access to options data and IV metrics. Applicability depends on option liquidity, implied volatility levels, and proximity to earnings or binary events.

ATM (at-the-money) strikes maximize gamma and vega exposure, capturing the largest gains from volatility expansion and directional moves. This Skill applies ATM-focused analysis because ATM straddles offer balanced risk/reward and are most responsive to the volatility spikes the strategy targets.