TRADINGRIOT
Position Size
Forward Factor
Short Volatility
Correlation Matrix
Black-Scholes
Inputs
Select a ticker (optional) to pull spot, IV & forecast RV
Structure
Short Straddle
Short Strangle
Put Credit Spread
Call Credit Spread
Strike
Current Price
Market IV (%)
Risk-Free Rate (%)
Live SOFR; edit to override
Days to Expiry
Number of Contracts
Theoretical credit
$4.57
▶ Advanced Parameters (delta hedge)
Optimal Delta Hedge
HOLD
Position delta is within the no-trade zone
Position Details
Position Delta
-0.0685
-7 shares
Upper Band
0.2635
Sell threshold
Lower Band
-0.2635
Buy threshold
Call Delta
0.5343
Put Delta
-0.4657
Calculation Details
H₀: 0.030417
H₁: 0.233070
K: -0.037586
σ_mod: 20.37%
Band Width: 0.263486
Effective Fill IV
what IV did your fill imply?
Fill Credit ($/straddle)
Net credit received
Calculate
Enter the credit you filled the straddle at and click Calculate.
RV Scenario Analysis
P&L on your fill if realized vol comes in at…
Forecast RV (%)
Annualized realized vol to assume
Run
Enter your fill credit above; the scenario is priced off what you actually collected.
Set your fill credit and a forecast RV, then click Run (20,000 simulated paths).