Straddle (STR)

• Obtain Market Data:

  • Implied volatilities of ATM call and put options with the same strike price.

• Calculate Straddle:

  • Straddle is calculated as the sum of the implied volatilities of the call and the put options.

  • Formula: $\text{STR} = \sigma_{\text{call}} + \sigma_{\text{put}}$

  • Where:

    • $\sigma_{\text{call}}$​ is the implied volatility of the at-the-money (ATM) call option.

    • $\sigma_{\text{put}}$​ is the implied volatility of the at-the-money (ATM) put option.