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Trading and options · Two-strike payoff at expiration

Strangle Payoff Calculator

Created by Arunangshu DasReviewed

Calculate long or short strangle profit, loss and break-even at expiration.

Enter a put strike below the call strike and separate premiums for both legs.

Strangle at expiration

Use the same major currency for all amounts. Enter decimals with a period and no grouping separators.

Formatting only. The calculator performs no currency conversion.

Enter each premium per unit and fees for the entire position. Enter zero if no fees apply.

Expiration payoff and net profit or loss

Enter your option assumptions or load the worked example.

The model pairs a lower-strike put with a higher-strike call at expiration. The downside-price branch ends at zero. The rising-price branch is unbounded.

Learn to calculate a strangle payoff

Work through both sides and see when the lower break-even is attainable.

Read the strangle payoff guide

Formula and methodology

Combined intrinsic value = units per leg × [max(put strike − price, 0) + max(price − call strike, 0)].

Put intrinsic value per unit is the positive part of put strike minus expiration price. Call intrinsic value is the positive part of expiration price minus call strike. Multiply by units per leg. A long pays both premiums and receives intrinsic value. A short receives both premiums and owes intrinsic value. Subtract total fees once.

Definitions

A strangle pairs a lower-strike put with a higher-strike call. Both options have the same underlying, expiry and quotation basis. Buy both for a long strangle or sell both for a short strangle.

Verified worked examples

A 100-unit pair with put strike 45, call strike 55, put premium 2, call premium 3 and total fees 10 costs 510 long or retains 490 short. At expiration price 40, the put has 500 of intrinsic value, so either direction loses 10. The long breaks even at 39.90 and 60.10. The short breaks even at 40.10 and 59.90.

Interpretation

From put strike through call strike, both intrinsic values are zero. This gives the long’s worst result and the short’s best result. At price zero, put intrinsic value equals put strike times units. The rising-price branch has unbounded long gain or short loss.

Inputs and interpretation

Confirm both legs use the same underlying, expiry, quote basis and currency. Enter the two strikes in order, one expiration price, separate per-unit premiums, matched contract count, multiplier and total fees. Enter zero explicitly where applicable.

Assumptions and limitations

One matched pair structure at expiration, with nonnegative underlying price and one major currency. The market selector changes formatting. There are no rates or compounding.

Supported domain and common mistakes

Money inputs support up to 1 trillion and 12 decimal places. Strikes must be strictly positive and ordered. Count and multiplier each support 1 through 1 million. Rounded roots are labeled approximate. The theoretical upper root can exceed the scenario input ceiling.

Use the same size and unit basis for both legs. Keep the put strike strictly below the call strike. A missing lower root differs from a valid break-even at exactly zero.

Frequently asked questions

What is the payoff between the strikes?
Both intrinsic values are zero, including at the strikes. The long loses total premiums and fees. The short keeps premiums less fees.
Can a strangle have a break-even range?
Yes. If signed opening cash after fees is exactly zero, every price from put strike through call strike breaks even.
Why is the lower break-even missing?
The put strike minus required intrinsic value per unit is negative. A price of exactly zero is attainable in the model and is shown separately.
What happens when short fees exceed premiums?
Even the best result, between strikes, is a loss. No modeled price breaks even.
What is the maximum modeled loss for a short strangle?
The short call liability increases without bound as the underlying rises. The downside-price branch stops at zero.
How does a strangle differ from a straddle?
A strangle uses two ordered strikes, giving a flat region of zero intrinsic value. A straddle uses the same strike for both legs.

Sources and educational scope

Educational expiration model. It excludes volatility, pre-expiry valuation, assignment, exercise, settlement, margin, taxes, financing and FX.

Reviewed . AI-assisted content under operator editorial responsibility. No independent expert financial review is claimed.

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