Long straddle on Sensex
Buy an at-the-money call and an at-the-money put. The position gains from a large move in either direction. Shown per lot of 20 with illustrative numbers.
Contract basics. Sensex lot size: 20. Sensex has weekly options on BSE expiring every Thursday, so this example uses 7 days to expiry. Strikes in this example are rounded to the 100-point strike interval.
A structure for a view that the index will move a lot, without a view on the direction, for example around a scheduled event.
| Leg | Premium per unit | Cash flow |
|---|---|---|
| Buy 1 lot 82,000 CE | ₹641.05 | −₹12,821 |
| Buy 1 lot 82,000 PE | ₹538.90 | −₹10,778 |
Profit and loss at expiry
For the whole position, before charges.
Premiums are theoretical Black–Scholes values from round, illustrative inputs, not market prices. Charges and margin are not included.Price a single leg with your own numbers.
Frequently asked questions
What is the maximum loss of a long straddle on Sensex?
In this illustrative example, ₹23,599 per set of legs (lot size 20), before charges.
What is the lot size of Sensex options?
20 units per lot at the time of writing. Lot sizes are revised by the exchange from time to time; check the current size before trading.
When do Sensex options expire?
Sensex has weekly options on BSE expiring every Thursday, so this example uses 7 days to expiry.
What is the break-even of a long straddle?
The strike plus the combined premium on the upside, and the strike minus the combined premium on the downside.
What is the maximum loss?
The combined premium paid, if the index ends exactly at the strike at expiry.