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Long Strangle (Long Vol)
volatility Capped lossAdvanced: a cheaper long-vol play using OTM options.
When to use it
Buy an OTM call and OTM put. Cheaper than a straddle but needs a bigger move. Risk limited to the premium.
Max profit
Large — grows with the move.
Max loss
The total premium paid.
Payoff at expiry
illustrative shape — not to scale
■ profit zone
■ loss zone
X axis = stock price at expiry →
How it's built
Strikes shown low→high. Sell = collect premium · Buy = pay premium for protection or upside.
Hermes-evaluated setups
High-conviction per-ticker applications — setups with a confidence-adjusted win rate ≥ 80% over ≥20 backtested trades (95% lower bound — honest for the sample size, never a raw 100%). Avg P/L is the mean profit/loss per one-contract position.
| Ticker | Win Rate | Avg P/L / contract | Sharpe | Trades | DTE |
|---|---|---|---|---|---|
| LNG | 87% | +$306 | 6.2 | 41 | 30 |
| PLD | 84% | +$169 | 3.2 | 84 | 14 |
| IWM | 82% | +$271 | 3.6 | 84 | 14 |
| MMM | 81% | +$235 | 3.8 | 57 | 21 |
| KLAC | 81% | +$1856 | 2.6 | 57 | 21 |
| VST | 81% | +$159 | 1.9 | 84 | 14 |
| LQD | 81% | +$48 | 4.5 | 41 | 30 |
| HYG | 81% | +$29 | 4.2 | 41 | 30 |
| XLE | 81% | +$55 | 4.9 | 41 | 30 |
| NOW | 81% | +$315 | 3.1 | 41 | 30 |
| NBIS | 80% | +$302 | 3.7 | 40 | 9 |
| XOM | 80% | +$228 | 4.5 | 40 | 30 |
| WMB | 80% | +$90 | 3.6 | 40 | 30 |
Backtested results are not a guarantee of future performance.