Straddle Strangle Volatility Trading

objective

Design and monitor straddle/strangle volatility trades with convexity and theta controls.

workflow

1. define event thesis, holding horizon, and volatility view.
2. select strikes and expiries for straddle or strangle structures.
3. quantify convexity, theta decay, and break-even ranges.
4. stress scenarios for vol crush, gap moves, and skew shifts.
5. deploy only when expected move justifies premium and carry costs.

required diagnostics

• expected-move versus implied-move gap analysis.
• gamma and theta tradeoff by days-to-expiry.
• volatility crush impact after scheduled events.
• break-even attainment probability from historical distributions.
• liquidity and slippage impact on net expectancy.