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Short Straddle
neutral Uncapped riskAn IV-crush play right at the money.
When to use it
After an IV spike (post-earnings, post-event). Sell the ATM call and ATM put. Highest premium, widest breakevens.
Max profit
Both premiums, if the stock pins the strike.
Max loss
Large in either direction; advanced management required.
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 |
|---|---|---|---|---|---|
| NDX | 62% | +$5,763.00 | 0.6 | 59 | 14 |
| SQQQ | 53% | +$1,361.00 | 1.0 | 31 | 30 |
| ASML | 56% | +$1,306.00 | 0.9 | 30 | 30 |
| INTU | 66% | +$852.00 | 1.7 | 30 | 30 |
| MSCI | 59% | +$682.00 | 0.8 | 30 | 30 |
| SNOW | 59% | +$561.00 | 1.1 | 30 | 30 |
| EQIX | 60% | +$526.00 | 0.5 | 43 | 21 |
| CASY | 60% | +$483.00 | 1.3 | 43 | 21 |
Backtested results are not a guarantee of future performance.