Straddle report
For every expiration and strike of a symbol, the cost of buying the call and the put together, the break-evens and the move needed to break even.
Overview
The Straddle report lists, for every expiration and strike of a symbol that has both a quoted call and put, the price of a long straddle - buying the call and the put at the same strike - and the stock move needed by expiry to break even. The at-the-money straddle is a common way to read the move the options market is pricing.
The data delay depends on your plan and is shown on every view: the as-of time and the delayed label sit above the results. On the Free plan reports show the previous session.
How the report is built
- Net premium = call mark + put mark, per share. Price per contract = net premium x 100.
- Break-evens = strike - net premium and strike + net premium.
- Required move = net premium / stock price.
- Sorted by expiration (soonest first), then strike (highest first).
Before you start
Any signed-in plan can open the report. It runs for one symbol at a time and opens on a busy symbol. CSV export needs a plan that includes it.
Steps
- Open Research → Reports, choose Strategies and open Straddle.
- Pick a symbol and press Run.
- Use Export CSV to download the rows (plans with CSV export).
Columns and metrics
| Column | What it means |
|---|---|
| Symbol / Option Expiry | The underlying and expiration. |
| Call & Put Buy Strike Price | The common strike. |
| Call Buy Premium / Put Buy Premium | The two marks, per share. |
| Net Premium | Call + put, per share. |
| Price Per Contract | Net premium x 100. |
| Break Even (down / up) | Strike - net premium / strike + net premium. |
| Required Move | Net premium / stock price. |
Percentages are stored as fractions and displayed as percentages (0.05 is shown as 5 %). An unknown value shows as "-", never as 0.
How to read it
- The at-the-money row of each expiration is the market's rough estimate of the move by that date.
- Required move growing slowly with time is normal; a jump at one expiration points to an expected event.
Example
Illustrative only - the symbol and numbers are invented.
XYZ at $100, 100 strike: call 3.20 + put 2.80 = Net Premium 6.00, Price Per Contract $600, Break Even (down / up) 94.00 / 106.00, Required Move 6.00 %.
Using it in your research
- Compare the required move before an earnings date with the stock's typical post-earnings move.
- Compare required moves across expirations to see where the event premium sits.
Treat every row as a starting point for your own research, not as a signal. Volume and open interest never say whether a trade was a buy or a sell.
Troubleshooting
"Please select Symbol"
The straddle report needs one symbol.
The report shows "No Records Found"
The filters may be too narrow for the session, or the session has only just opened. Widen a threshold, clear the symbol, or check the as-of time to see which session you are reading. On the Free plan you read the previous session.