Straddle
The cost of buying both the call and the put at the strike nearest the price, for the selected expiration. It is a common read of how far, in dollars, the options market expects the price to move by that date — up or down.
How it is calculated
Straddle = call price + put price, both at the strike nearest today's price
Each price is the middle of the bid and ask, or the last trade when there is no quote. Whoever buys the straddle profits only if the price moves further than what they paid, in either direction, so its cost is what the market charges for the move it expects.
The ⚠ mark
Implied volatility alone predicts what the straddle should cost. When the real cost differs from that by more than 10%, a ⚠ appears: usually an event, such as earnings, falls before the expiration, and the market prices a jump that ordinary volatility does not explain.
Limits
- It is a price, not a forecast: the real move is often smaller, sometimes much larger.
- It needs live bid and ask prices, fetched only for the nearest, next and monthly expirations; the others show n/a.
- A wide bid–ask spread makes the middle price, and the straddle, less precise.