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Long Straddle (Long Vol)
volatility Capped lossAdvanced: profit from a big move either way; risk limited to the premium.
When to use it
Buy an ATM call and put. Profits from a large move in either direction or an IV spike. Best before catalysts when IV is low.
Max profit
Large — grows with the size of the move.
Max loss
The total premium paid.
Payoff at expiry
illustrative shape — not to scale
■ profit zone
■ loss zone
X axis = stock price at expiry →
How it's built
Strikes shown low→high. Sell = collect premium · Buy = pay premium for protection or upside.
Hermes-evaluated setups
Best backtested per-ticker setups for this strategy. None currently clear our 80% conviction floor (common for directional / long-volatility structures, which win less often but pay more when they hit) — shown for completeness over ≥20 trades. Win rate is confidence-adjusted (95% lower bound); Avg P/L is per one-contract position.
| Ticker | Win Rate | Avg P/L / contract | Sharpe | Trades | DTE |
|---|---|---|---|---|---|
| ORCL | 59% | +$492.00 | 2.5 | 30 | 30 |
| STRL | 56% | +$450.00 | 1.6 | 30 | 30 |
| HLNE | 52% | +$265.00 | 1.8 | 30 | 30 |
| CLS | 52% | +$213.00 | 1.6 | 30 | 30 |
| TFSL | 56% | +$14.00 | 1.3 | 30 | 30 |
Backtested results are not a guarantee of future performance.