NERD Straddle Strategy
NERD (Listed Funds Trust - Roundhill Video Games ETF), in the Financial Services sector, (Asset Management industry), listed on CBOE.
Roundhill believes that video games, the largest form of entertainment globally, will continue to achieve significant growth in the coming decades. The Roundhill Video Games ETF (“NERD”) is an actively-managed ETF.
NERD (Listed Funds Trust - Roundhill Video Games ETF) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $15.9M, a beta of 0.98 versus the broader market, a 52-week range of 20.104-28.81, average daily share volume of 2K, a public-listing history dating back to 2019. These structural characteristics shape how NERD etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.98 places NERD roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. NERD pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a straddle on NERD?
A long straddle buys an ATM call and an ATM put at the same strike, profiting from a large move in either direction; max loss equals the combined debit when the underlying pins to the strike at expiration.
Current NERD snapshot
As of May 15, 2026, spot at $20.62, ATM IV 34.80%, IV rank 30.97%, expected move 9.98%. The straddle on NERD below is built from the same end-of-day chain, with strikes snapped to listed contracts and premiums pulled from the bid/ask midpoint at a 34-day expiry.
Why this straddle structure on NERD specifically: NERD IV at 34.80% is mid-range versus its 1-year history, so strategy selection should anchor more to the directional thesis than to the IV regime, with a market-implied 1-standard-deviation move of approximately 9.98% (roughly $2.06 on the underlying). The 34-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated NERD expiries trade a higher absolute premium for lower per-day decay. Position sizing on NERD should anchor to the underlying notional of $20.62 per share and to the trader's directional view on NERD etf.
NERD straddle setup
The NERD straddle below is built from the end-of-day chain, with each option leg priced at the bid/ask midpoint of its listed strike. With NERD near $20.62, the first option leg uses a $20.62 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed NERD chain at a 34-day expiry; the cross-strike IV skew is reflected directly in the per-leg values rather than approximated. Quantity sizing assumes one contract per option leg (or 100 NERD shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $20.62 | N/A |
| Buy 1 | Put | $20.62 | N/A |
NERD straddle risk and reward
- Net Premium / Debit
- N/A
- Max Profit (per contract)
- Unbounded
- Max Loss (per contract)
- Unbounded
- Breakeven(s)
- None on modeled curve
- Risk / Reward Ratio
- N/A
Upside max profit is unbounded; downside max profit is bounded at the strike minus the combined call plus put debit (reached at zero). Max loss equals the combined debit times 100 (reached when the underlying pins to the strike). Two breakevens at strike plus debit and strike minus debit.
NERD straddle payoff curve
Modeled P&L at expiration across a range of underlying prices for the straddle on NERD. Each row is one sampled price point from the computed payoff curve; the full curve uses 200 price points internally before being summarized into 10 rows here.
When traders use straddle on NERD
Straddles on NERD are pure-volatility plays that profit from large moves in either direction; traders typically buy NERD straddles ahead of earnings, FDA decisions, or other catalysts where the realized move is expected to exceed the implied move priced into the chain.
NERD thesis for this straddle
The market-implied 1-standard-deviation range for NERD extends from approximately $18.56 on the downside to $22.68 on the upside. A NERD long straddle is a pure-volatility play: it profits when the underlying moves far enough from the strike in either direction to overcome the combined call plus put debit, regardless of direction. Current NERD IV rank near 30.97% is mid-range against its 1-year distribution, so the IV signal is neutral; the straddle thesis on NERD should anchor more to the directional view and the expected-move geometry. As a Financial Services name, NERD options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to NERD-specific events.
NERD straddle positions are structurally neutral / high-volatility (long premium); the modeled P&L assumes European-style exercise at expiration and ignores early assignment, transaction costs, dividends paid before expiry on the stock leg (when present), and the bid-ask spread on the listed chain. NERD positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move NERD alongside the broader basket even when NERD-specific fundamentals are unchanged. Always rebuild the position from current NERD chain quotes before placing a trade.
Frequently asked questions
- What is a straddle on NERD?
- A straddle on NERD is the straddle strategy applied to NERD (etf). The strategy is structurally neutral / high-volatility (long premium): A long straddle buys an ATM call and an ATM put at the same strike, profiting from a large move in either direction; max loss equals the combined debit when the underlying pins to the strike at expiration. With NERD etf trading near $20.62, the strikes shown on this page are snapped to the nearest listed NERD chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are NERD straddle max profit and max loss calculated?
- Upside max profit is unbounded; downside max profit is bounded at the strike minus the combined call plus put debit (reached at zero). Max loss equals the combined debit times 100 (reached when the underlying pins to the strike). Two breakevens at strike plus debit and strike minus debit. For the NERD straddle priced from the end-of-day chain at a 30-day expiry (ATM IV 34.80%), the computed maximum profit is unbounded per contract and the computed maximum loss is unbounded per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a NERD straddle?
- The breakeven for the NERD straddle priced on this page is no defined breakeven on the modeled curve at expiration, derived from end-of-day chain premiums. Breakeven is the underlying price at which the strategy's P&L crosses zero ignoring transaction costs and assignment risk. The current NERD market-implied 1-standard-deviation expected move is approximately 9.98%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a straddle on NERD?
- Straddles on NERD are pure-volatility plays that profit from large moves in either direction; traders typically buy NERD straddles ahead of earnings, FDA decisions, or other catalysts where the realized move is expected to exceed the implied move priced into the chain.
- How does current NERD implied volatility affect this straddle?
- NERD ATM IV is at 34.80% with IV rank near 30.97%, which is mid-range against its 1-year history. Strategy selection depends more on directional thesis and expected move than on a strong IV signal.