Strangle report
Builds a ladder of long strangles for a symbol - a call strike and a lower put strike - per expiration, with the combined cost.
Overview
The Strangle report builds long strangles - buying a call and a put at a lower strike - for one symbol across its expirations. It steps the call strike away from the stock price in ITM and OTM directions and places the put a fixed distance below, so you can compare the cost of several strangle widths at once.
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
- Each step sets a target: ITM steps start at the stock price and move down by Upward Call Increment Number; OTM steps move up by it.
- Call strike = the highest listed call strike at or below the target. Put target = call target - Diff. between Call Buy & Put Sell; put strike = the highest listed put strike at or below it (else the nearest higher one).
- Net premium = call premium + put premium; price per contract = x 100.
- A missing leg is shown blank with a note, not dropped.
Before you start
Any signed-in plan can open the report. It runs for one symbol and opens on a busy symbol. CSV export needs a plan that includes it.
Steps
- Open Research → Reports, choose Strategies and open Strangle.
- Pick a symbol and fill in the four numbers (defaults 5, 10, 1 and 1).
- Press Run. Use Export CSV to download the rows (plans with CSV export).
Report inputs
| Input | What it does |
|---|---|
| Upward Call Increment Number | Dollars the call target moves per step. Default 5. |
| Diff. between Call Buy & Put Sell | Dollars between the call target and the put target. Default 10. |
| # Of Strangle Series ITM | ITM steps to build. Default 1. |
| # Of Strangle Series OTM | OTM steps to build. Default 1. |
Columns and metrics
| Column | What it means |
|---|---|
| Series | ITM or OTM and the step number. |
| Option Expiry | The expiration. |
| Call Buy Strike / Call Premium | The call leg and its mark. |
| Put Buy Strike / Put Premium | The put leg and its mark. |
| Net Premium | Call + put, per share. |
| Price Per Contract | Net premium x 100. |
| Notes | Why a leg is missing, when it is. |
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
- Wider strangles cost less but need a bigger move to pay off: break-evens are call strike + net premium and put strike - net premium.
- Compare the same step across expirations to see how cost grows with time.
Example
Illustrative only - the symbol and numbers are invented.
XYZ at $100, increment 5, diff 10. The first ITM step targets 100: call strike 100 (premium 3.10), put strike 90 (premium 0.90). Net Premium 4.00, Price Per Contract $400; break-evens 104 and 86.
Using it in your research
- Compare the cost of different strangle widths before an event.
- Weigh the cheaper OTM steps against the larger move they need.
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 Enter ..." messages
All four numbers are required and must be numbers.
A leg is blank
No listed strike matched the target at that expiration; the Notes column says why.
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.