CrudeChain IVStrategy library

Option strategies for CRUDEOILM

Every payoff graph below is generated in-house with the same Black-76 engine that powers the terminal, priced on a synthetic 30-day, 40% IV crude chain. Load any of these onto live chain data from the terminal and adjust hedge distance and spread width.

Long Call

Bullish

Naked long call — unlimited upside, premium at risk.

The simplest directional bet. You pay a premium for the right to buy the future at the strike, so the loss is capped at what you paid while the upside runs with the market.

When to use
Strongly bullish with an expectation that the move happens quickly, ideally when IV is low.
Max profit
Unlimited
Max loss
Premium paid
Breakeven
Strike + premium
Greeks
Long delta, long gamma, long vega, short theta — time decay is the enemy.
1 legs · fixed width · adjustable hedge distance

Short Put

Bullish

Collect premium while betting the market holds a floor.

Selling a put earns the full premium as long as the future stays above the strike at expiry. Risk is large but defined by how far the market can fall.

When to use
Mildly bullish to neutral, high IV, and you are comfortable being long at the strike.
Max profit
Premium received
Max loss
Strike − premium (very large)
Breakeven
Strike − premium
Greeks
Long delta, short gamma, short vega, long theta.
1 legs · fixed width · adjustable hedge distance

Bull Call Spread

Bullish

Buy ATM call, sell OTM call — cheap, capped, defined-risk bullish.

Buy a call at/near the money and finance it by selling a higher strike call. The short call caps the payoff but cuts the cost and the theta bleed considerably.

When to use
Moderately bullish. Best when you have a target price — set the short strike at that target.
Max profit
Spread width − net debit
Max loss
Net debit paid
Breakeven
Long strike + net debit
Greeks
Positive delta that peaks between strikes; vega and theta are largely neutralised.
2 legs · adjustable width · ATM anchored

Bull Put Spread

Bullish

Sell ATM put, buy OTM put — credit spread with a bought floor.

A net-credit version of the bullish spread. You sell the higher put and buy a lower put as insurance, so the maximum loss is the width minus the credit.

When to use
Moderately bullish with elevated IV — you want to be paid to wait.
Max profit
Net credit received
Max loss
Spread width − net credit
Breakeven
Short strike − net credit
Greeks
Positive delta, positive theta, short vega — decay works for you.
2 legs · adjustable width · ATM anchored

Bear Put Spread

Bearish

Buy ATM put, sell OTM put — defined-risk bearish debit spread.

Mirror image of the bull call spread. Buy the higher put, sell a lower one to lower the cost of the view.

When to use
Moderately bearish; ideal when you expect a grind lower rather than a crash.
Max profit
Spread width − net debit
Max loss
Net debit paid
Breakeven
Long strike − net debit
Greeks
Negative delta, near-neutral vega and theta.
2 legs · adjustable width · ATM anchored

Bear Call Spread

Bearish

Sell ATM call, buy OTM call — bearish credit spread.

Sell the lower call for premium and buy a higher call as the hedge. You profit if the market stalls or falls.

When to use
Moderately bearish to neutral with rich call IV.
Max profit
Net credit received
Max loss
Spread width − net credit
Breakeven
Short strike + net credit
Greeks
Negative delta, positive theta, short vega.
2 legs · adjustable width · ATM anchored

Call Ratio Back Spread

Bullish

Sell 1 ITM/ATM call, buy 2 OTM calls — profit on a big up move, small gain if it falls.

A 1:2 structure that makes unlimited money on a sharp rally, a small profit if the market crashes, and loses only in the dead zone between the strikes.

When to use
You expect a large move with an upward skew, and low IV going in.
Max profit
Unlimited on the upside; net credit on the downside
Max loss
Roughly spread width − net credit, at the long strike
Breakeven
Two: one below the short strike, one above the long strike
Greeks
Long gamma and long vega — a volatility expansion trade.
2 legs · adjustable width · ATM anchored

Put Ratio Back Spread

Bearish

Sell 1 ATM put, buy 2 OTM puts — payoff on a sharp sell-off.

The bearish mirror of the call ratio back spread: large profit on a crash, small credit if the market rallies, worst case at the long strike.

When to use
You expect a violent down move; crude often gaps on supply headlines.
Max profit
Large on the downside; net credit on the upside
Max loss
Around spread width − net credit at the long strike
Breakeven
Two levels straddling the long strike
Greeks
Long gamma, long vega, short theta.
2 legs · adjustable width · ATM anchored

Bear Call Ladder

Bullish

Sell 1 ITM call, buy 1 ATM + 1 OTM call — despite the name, a bullish structure.

Built as an extension of the bear call spread but with an extra long call, which flips the payoff bullish beyond the highest strike while retaining a credit if the market collapses.

When to use
You expect an outsized rally but want a cushion if you are wrong on direction.
Max profit
Unlimited above the highest strike
Max loss
Between the middle and upper strikes
Breakeven
Two levels — lower and upper
Greeks
Long vega and gamma, negative theta in the trough.
3 legs · adjustable width · ATM anchored

Synthetic Long Future

Bullish

Long ATM call + short ATM put — replicates a long future.

Combining a long call and a short put at the same strike reproduces the payoff of a long future, at a fraction of the margin and with arbitrage potential when the synthetic diverges from the actual future.

When to use
You want future-like exposure, or to arbitrage a mispriced synthetic against the futures price.
Max profit
Unlimited
Max loss
Unlimited below the strike
Breakeven
Strike + net debit
Greeks
Delta ≈ +1 per lot, gamma/vega/theta close to zero.
2 legs · fixed width · ATM anchored

Long Straddle

Volatile

Buy ATM call + ATM put — direction-agnostic bet on a big move.

Own both wings at the same strike. Any large move in either direction pays; the cost is the combined premium, which decays fast.

When to use
Ahead of scheduled catalysts (OPEC, inventories) when IV is still cheap.
Max profit
Unlimited in both directions
Max loss
Total premium paid, at the strike
Breakeven
Strike ± total premium
Greeks
Maximum long gamma and vega, heavily negative theta.
2 legs · fixed width · ATM anchored

Short Straddle

Neutral

Sell ATM call + ATM put — harvest premium in a quiet market.

The inverse of the long straddle. You collect both premiums and keep them if the market pins near the strike. Losses are theoretically unlimited, so it demands strict risk control.

When to use
IV is rich and you expect range-bound trade into expiry.
Max profit
Total premium received
Max loss
Unlimited
Breakeven
Strike ± total premium
Greeks
Short gamma and vega, strongly positive theta.
2 legs · fixed width · ATM anchored

Long Strangle

Volatile

Buy OTM call + OTM put — cheaper straddle, wider breakevens.

Buying out-of-the-money wings lowers the cost versus a straddle but requires a larger move to pay.

When to use
You expect a very large move and want to spend less to express it.
Max profit
Unlimited both ways
Max loss
Total premium paid
Breakeven
Call strike + premium and put strike − premium
Greeks
Long vega and gamma, negative theta.
2 legs · fixed width · adjustable hedge distance

Short Strangle

Neutral

Sell OTM call + OTM put — wide profit zone, unlimited tails.

Sell both wings away from the money. The profit window is wider than the short straddle, at the cost of a smaller credit.

When to use
Range-bound expectation with elevated IV.
Max profit
Total premium received
Max loss
Unlimited
Breakeven
Call strike + premium and put strike − premium
Greeks
Short gamma and vega, positive theta.
2 legs · fixed width · adjustable hedge distance

Iron Condor

Neutral

Short strangle with bought wings — defined-risk range trade.

Sell an OTM call and put, then buy further wings as insurance. You keep the credit while price stays inside the short strikes, with the maximum loss capped by the wing width.

When to use
Neutral view, rich IV, and you want a hard cap on the tail.
Max profit
Net credit received
Max loss
Wing width − net credit
Breakeven
Short call + credit and short put − credit
Greeks
Short vega and gamma, positive theta with limited tails.
4 legs · adjustable width · adjustable hedge distance

Iron Butterfly

Neutral

Short ATM straddle with protective wings.

A short straddle hedged with long wings a fixed distance away. Higher credit than the condor, but a much narrower profit zone.

When to use
You expect the market to pin near the ATM strike into expiry.
Max profit
Net credit, at the ATM strike
Max loss
Wing distance − net credit
Breakeven
ATM ± net credit
Greeks
Sharply short gamma, short vega, high positive theta.
4 legs · fixed width · adjustable hedge distance

Long Call Butterfly

Neutral

Buy 1 lower, sell 2 ATM, buy 1 higher call — cheap pin trade.

A low-cost structure that pays best if the market finishes exactly at the middle strike. Risk is limited to the small debit.

When to use
You have a precise expiry target and IV is high enough to make the body rich.
Max profit
Wing width − net debit, at the middle strike
Max loss
Net debit paid
Breakeven
Middle ± (wing width − debit)
Greeks
Short gamma near the body, positive theta as expiry nears.
3 legs · adjustable width · ATM anchored

Range Forward

Bullish

Buy OTM call funded by selling an OTM put — near-zero cost bullish skew.

A risk-reversal: the sold put pays for the bought call, giving cheap upside with downside exposure below the put strike.

When to use
Bullish with a willingness to be long lower down; useful when put IV is bid over calls.
Max profit
Unlimited above the call strike
Max loss
Large below the put strike
Breakeven
Near the call strike, adjusted for net cost
Greeks
Positive delta, skew-sensitive vega.
2 legs · fixed width · adjustable hedge distance
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