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Short Straddle
neutral Uncapped riskAn IV-crush play right at the money.
When to use it
After an IV spike (post-earnings, post-event). Sell the ATM call and ATM put. Highest premium, widest breakevens.
Max profit
Both premiums, if the stock pins the strike.
Max loss
Large in either direction; advanced management required.
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 |
|---|---|---|---|---|---|
| XLV | 94% | +$162 | 6.1 | 57 | 21 |
| MDT | 94% | +$193 | 4.6 | 57 | 21 |
| XLB | 94% | +$74 | 4.4 | 57 | 21 |
| HGV | 94% | +$117 | 5.6 | 84 | 14 |
| XBI | 93% | +$223 | 4.5 | 83 | 14 |
| XLI | 92% | +$153 | 3.5 | 84 | 14 |
| DIA | 92% | +$407 | 2.9 | 84 | 14 |
| SYK | 91% | +$683 | 5.3 | 41 | 30 |
| HD | 91% | +$815 | 4.8 | 40 | 30 |
| MRK | 91% | +$237 | 4.2 | 40 | 30 |
| IBB | 91% | +$284 | 5.0 | 40 | 30 |
| LQD | 91% | +$86 | 5.0 | 40 | 30 |
| TLT | 91% | +$132 | 4.7 | 57 | 21 |
| IWM | 91% | +$420 | 4.6 | 57 | 21 |
| XOP | 91% | +$352 | 4.6 | 57 | 21 |
| CI | 91% | +$673 | 4.4 | 57 | 21 |
| PSX | 91% | +$310 | 3.6 | 57 | 21 |
| TXG | 91% | +$264 | 3.3 | 57 | 21 |
| GS | 91% | +$1172 | 2.4 | 57 | 21 |
| V | 90% | +$403 | 3.9 | 84 | 14 |
| VZ | 90% | +$51 | 3.8 | 84 | 14 |
| ITB | 90% | +$161 | 2.7 | 84 | 14 |
| BX | 90% | +$261 | 2.4 | 84 | 14 |
| MA | 88% | +$658 | 4.4 | 84 | 14 |
| KRE | 88% | +$99 | 2.4 | 84 | 14 |
| SBUX | 88% | +$130 | 1.8 | 84 | 14 |
| SAP | 88% | +$260 | 1.5 | 84 | 14 |
| HPQ | 88% | +$49 | 2.5 | 83 | 14 |
| FXI | 88% | +$52 | 2.2 | 83 | 14 |
| SMH | 88% | +$433 | 1.8 | 83 | 14 |
| OXY | 88% | +$157 | 4.9 | 57 | 21 |
| ISRG | 88% | +$1063 | 3.5 | 57 | 21 |
| MDLZ | 88% | +$93 | 3.0 | 57 | 21 |
| CTRE | 88% | +$46 | 2.8 | 57 | 21 |
| RTX | 88% | +$188 | 2.5 | 57 | 21 |
| BNY | 88% | +$112 | 2.2 | 57 | 21 |
| BSX | 88% | +$94 | 1.4 | 57 | 21 |
| GD | 87% | +$581 | 6.1 | 41 | 30 |
| PG | 87% | +$237 | 2.7 | 41 | 30 |
| NOW | 87% | +$620 | 2.8 | 41 | 30 |
| CEVA | 87% | +$143 | 2.7 | 41 | 30 |
| PH | 87% | +$1747 | 2.5 | 41 | 30 |
| LCID | 87% | +$736 | 2.2 | 41 | 30 |
| XLE | 87% | +$87 | 2.3 | 41 | 30 |
| RBLX | 87% | +$390 | 2.2 | 41 | 30 |
| HYG | 87% | +$48 | 6.8 | 40 | 30 |
| PEP | 87% | +$282 | 5.0 | 40 | 30 |
| XRT | 87% | +$162 | 4.0 | 40 | 30 |
| NKE | 87% | +$330 | 2.8 | 40 | 30 |
| BLK | 87% | +$1951 | 2.5 | 40 | 30 |
Backtested results are not a guarantee of future performance.