Strangle: buying or selling 1 call on the 25-delta (out-of-the-money) strike and 1 put on the 25-delta (out-of-the-money) strike for that expiration. ATM = At-the-Money (nearest strike to the spot price)ĪTM Straddle: buying or selling 1 call and 1 put on the same strike for the strike nearest to the at-the-money price for that expiration.ĪTM Call: buying or selling 1 call on the strike nearest to the at-the-money price for that expiration.ĪTM Put: buying or selling 1 put on the strike nearest to the at-the-money price for that expiration.Ģ5-Delta Call: buying or selling 1 call on the strike nearest to the 25-delta (out-of-the-money) for that expiration.Ģ5-Delta Put: buying or selling 1 put on the strike nearest to the 25-delta (out-of-the-money) for that expiration.ħ5-Delta Call: buying or selling 1 call on the strike nearest to the 75-delta (in-the-money) for that expiration.ħ5-Delta Put: buying or selling 1 put on the strike nearest to the 75-delta (in-the-money) for that expiration.īull Call Spread: buy 1 call on the at-the-money strike and sell 1 call on the 25-delta strike for that expiration.īear Put Spread: buy 1 put on the at-the-money strike and sell 1 put on the 25-delta strike for that expiration. All strategies are assumed to be Long (buying) unless otherwise noted. The type of the selected earnings option strategy.
Current Strategy Market & Theoretical Value
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