TradingCalcStraddle & Strangle Calculator
OPTIONS · DERIBIT COIN-SETTLED AND BINANCE USDT-SETTLED MULTI-LEG PAYOFF MATH
Combined P&L, both breakeven prices, and max loss/profit for a long or short Deribit BTC/ETH or Binance straddle or strangle.
Exchange
Underlying
Position
Set call strike = put strike for a straddle; set them apart for a strangle. Both legs go the same direction: enter each leg's own premium the way Deribit quotes it.
What is a straddle or strangle?
A straddle buys (or sells) both a call and a put at the same strike; a strangle does the same at two different strikes (call strike above the put strike). Both bet on volatility rather than direction: a long straddle/strangle profits from a big move either way, a short one profits from price staying inside a range. This calculator uses the same math as the single-leg payoff calculator, just summed across both legs: coin-settled for Deribit BTC/ETH, USDT-settled for Binance (BTC, ETH, gold, silver). Switch the exchange in the calculator.
The formulas (Deribit, coin-settled)
- Combined intrinsic = max(0, S − Kc) / S + max(0, Kp − S) / S
- Long P&L = (combined intrinsic − total premium) × quantity; short flips the sign
- Upper breakeven: S = Kc / (1 − total premium)
- Lower breakeven: S = Kp / (1 + total premium)
Worked example (Deribit)
Long a BTC straddle, strike $80,000, call premium 0.03 BTC, put premium 0.025 BTC:
- At $100,000: call intrinsic = 0.20 BTC → P&L = 0.20 − 0.055 = 0.145 BTC
- At $40,000: put intrinsic = 1.00 BTC → P&L = 1.00 − 0.055 = 0.945 BTC
- At exactly $80,000: both legs worthless → P&L = −0.055 BTC (max loss)
Notice the down-move pays off far more than the equivalent up-move: a direct consequence of coin settlement: a call's payoff is capped below 1 coin per unit, but a put's is unbounded as price falls toward zero.
The Binance version (USDT-settled)
On Binance each leg pays the flat textbook amount per unit, in USDT: max(0, S − Kc) for the call and max(0, Kp − S) for the put. Long a BTC straddle, strike 80,000, call premium 3,000 USDT, put premium 2,500 USDT (total 5,500):
- At 100,000: call intrinsic = 20,000, P&L = 20,000 − 5,500 = 14,500 USDT
- At 40,000: put intrinsic = 40,000, P&L = 40,000 − 5,500 = 34,500 USDT
- At exactly 80,000: both legs worthless, P&L = −5,500 USDT (max loss)
- Breakevens: 80,000 − 5,500 = 74,500 and 80,000 + 5,500 = 85,500
There is no coin-settlement skew here: the call side is unbounded, the put side is bounded by the strike, and the payoff is a straight line on each side. The premium is read as USDT; no 1 USDT = 1 USD conversion is applied.
Where to go next
Want the theoretical price of each leg and its Greeks? Use the Black-Scholes calculator.
Only want one leg, not a volatility bet? Use the single-leg Payoff Calculator. Want the legs going opposite directions instead, like a vertical spread or iron condor? Try the Spread & Iron Condor Calculator.
Use via API or MCP
This calculation is available as a deterministic API call: useful for bots or AI agents pricing multi-leg option payoffs without re-deriving the coin-settlement math themselves.
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What's the difference between a straddle and a strangle?
A straddle uses the same strike for both the call and put leg. A strangle uses two different strikes: the call struck above the put. A strangle is cheaper to open (further out of the money) but needs a bigger move to profit.
Why does a big down-move pay off more than an equivalent up-move on Deribit?
Deribit's BTC/ETH options settle in the underlying coin, and a call's coin-denominated payoff is capped below 1 coin per unit as price rises, while a put's is unbounded as price falls toward zero. That asymmetry carries straight through to a straddle or strangle built from those legs.
What's the max loss on a long straddle or strangle?
The total premium paid for both legs: it's flat across the whole range between the two strikes (or the single strike, for a straddle), since both legs expire worthless there.
What changes when I pick Binance?
Binance options settle in USDT and one contract is one unit of the underlying (BTC, ETH, gold or silver). Each leg pays the flat textbook amount per unit and the premiums are in USDT. The upper breakeven is the call strike plus the total premium, the lower one is the put strike minus the total premium (or none if the premium exceeds the put strike). The calculator does not convert USDT to USD.
Does this handle more than two legs, like an iron condor?
This calculator covers exactly two legs, both the same direction (a straddle or strangle). For an iron condor/butterfly, or a two-leg vertical spread where the legs go opposite directions, use the Vertical Spread & Iron Condor Calculator instead.