Hello ,

Would like to be able to calculate the Breakeven points of a Short straddle. End-of-Day.

Say Bank-Nifty is at Spot 23100 , 930AM.

And 23100-06-Jul-CE : 150 sell

And 23100-06-Jul-PE : 150 sell

Usually for straddles , we calculate the break-even-point as Strike +/- (SumofPremiums).

However that is at expiry.

I wish to know how to calculate , the range within which a short straddle would be profitable.

Say 23100 - x to 23100 + y. ?

There is some time decay during the day.

If market up , call goes up - put goes down. WhatExtent ? both loose timeValue.

If market down , call goes down - put goes up. WhatExtent ? both loose timeValue.

How do we use Delta or Theta for this calcualtion.

It may not be perfect , but how do we get an idea.

Where do we get the theta information. And how to use it to determine the

breakeven points.

Would like to be able to calculate the Breakeven points of a Short straddle. End-of-Day.

Say Bank-Nifty is at Spot 23100 , 930AM.

And 23100-06-Jul-CE : 150 sell

And 23100-06-Jul-PE : 150 sell

Usually for straddles , we calculate the break-even-point as Strike +/- (SumofPremiums).

However that is at expiry.

I wish to know how to calculate , the range within which a short straddle would be profitable.

Say 23100 - x to 23100 + y. ?

There is some time decay during the day.

If market up , call goes up - put goes down. WhatExtent ? both loose timeValue.

If market down , call goes down - put goes up. WhatExtent ? both loose timeValue.

How do we use Delta or Theta for this calcualtion.

It may not be perfect , but how do we get an idea.

Where do we get the theta information. And how to use it to determine the

breakeven points.

Last edited: