How are TSYW strangle max profit and max loss calculated?

Upside max profit is unbounded; downside max profit is bounded at the put strike minus the combined debit (reached at zero). Max loss equals the combined debit times 100 (reached anywhere between the two OTM strikes). Two breakevens at call-strike plus debit and put-strike minus debit. For the TSYW strangle priced from the September 29, 2026 end-of-day chain at a 30-day expiry (ATM IV 17.60%), the computed maximum profit is unbounded per contract and the computed maximum loss is -$146.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a TSYW strangle?

The breakeven for the TSYW strangle priced on this page is roughly $34.54 and $41.46 at expiration, derived from the September 29, 2026 end-of-day chain's premiums. Breakeven is the underlying price at which the strategy's P&L crosses zero ignoring transaction costs and assignment risk. The TSYW market-implied 1-standard-deviation expected move in the same options snapshot is approximately 5.05%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current TSYW implied volatility affect this strangle?

TSYW ATM IV is at 17.60% with IV rank near 12.28%, which is on the low end of its 1-year range. Premium-buying structures (long call, long put, debit spreads) are relatively cheap in this regime; premium-selling structures collect less credit per unit risk.

TSYW Strangle Strategy

TSYW (Roundhill ETF Trust - Roundhill Treasury Bond Weeklypay ETF), in the Financial Services sector, (Asset Management industry), listed on CBOE.

TSYW seeks to pair weekly income distributions with leveraged weekly performance linked to a long-term Treasury bond ETF. The fund implements this through a combination of total return swaps referencing the ETF and direct ETF holdings, supported by short-term Treasuries and cash for collateral. Its leverage target resets to 120 percent each calendar week, allowing the fund to maintain consistent weekly exposure rather than magnifying daily moves. Weekly distributions are determined by a formula incorporating recent benchmark performance and implied volatility, and a substantial portion may be classified as return of capital. When the benchmark rises over a calendar week, TSYW aims to capture proportionally larger gains, while declines result in correspondingly larger losses. The strategy maintains exposure regardless of market direction and can exhibit heightened volatility due to its weekly leverage structure.

TSYW (Roundhill ETF Trust - Roundhill Treasury Bond Weeklypay ETF) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $2.7M, a beta of 0.13 versus the broader market, a 52-week range of 37.98-50.161, average daily share volume of 3K, a public-listing history dating back to 2025. These structural characteristics shape how TSYW etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 0.13 indicates TSYW has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure. TSYW pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.

What is a strangle on TSYW?

A long strangle buys an OTM call and an OTM put at offset strikes, cheaper than a straddle but requiring a larger underlying move to profit since both wings start out-of-the-money.

TSYW snapshot

As of September 29, 2026, spot at $38.23, ATM IV 17.60%, IV rank 12.28%, expected move 5.05%. The strangle on TSYW below is built from the September 29, 2026 end-of-day chain, with strikes snapped to listed contracts and premiums pulled from the bid/ask midpoint at a 80-day expiry.

Why this strangle structure on TSYW specifically: TSYW IV at 17.60% is on the cheap side of its 1-year range, which favors premium-buying structures like a TSYW strangle, with a market-implied 1-standard-deviation move of approximately 5.05% (roughly $1.93 on the underlying). The 80-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated TSYW expiries trade a higher absolute premium for lower per-day decay. Position sizing on TSYW should anchor to the underlying notional of $38.23 per share and to the trader's directional view on TSYW etf.

TSYW strangle setup

The TSYW strangle below is built from the September 29, 2026 end-of-day chain, with each option leg priced at the bid/ask midpoint of its listed strike. With TSYW at $38.23 on that close, the first option leg uses a $40.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed TSYW chain at a 80-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 TSYW shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$40.00	$0.88
Buy 1	Put	$36.00	$0.58

TSYW strangle risk and reward

Net Premium / Debit: -$146.00
Max Profit (per contract): Unbounded
Max Loss (per contract): -$146.00
Breakeven(s): $34.54, $41.46
Risk / Reward Ratio: Unbounded

Upside max profit is unbounded; downside max profit is bounded at the put strike minus the combined debit (reached at zero). Max loss equals the combined debit times 100 (reached anywhere between the two OTM strikes). Two breakevens at call-strike plus debit and put-strike minus debit.

TSYW strangle payoff curve

Modeled P&L at expiration across a range of underlying prices for the strangle on TSYW. 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.

P&L at expiration across the modeled underlying-price range. Green shading marks profitable regions, red shading marks loss regions. Dotted purple verticals mark breakevens; the solid dark vertical marks current spot.

Underlying Price	% From Spot	P&L at Expiration
$0.01	-100.0%	+$3,453.00
$8.46	-77.9%	+$2,607.82
$16.91	-55.8%	+$1,762.65
$25.37	-33.7%	+$917.47
$33.82	-11.5%	+$72.30
$42.27	+10.6%	+$80.88
$50.72	+32.7%	+$926.06
$59.17	+54.8%	+$1,771.23
$67.62	+76.9%	+$2,616.41
$76.08	+99.0%	+$3,461.58

When traders use strangle on TSYW

Strangles on TSYW are the cheaper cousin of the straddle - traders use them when they want a large directional move but are willing to give up the inner-strike sensitivity in exchange for a lower up-front debit on the TSYW chain.

TSYW thesis for this strangle

The market-implied 1-standard-deviation range for TSYW extends from approximately $36.30 on the downside to $40.16 on the upside. A TSYW long strangle is the OTM cousin of the straddle: lower up-front cost but the underlying has to travel further past either OTM strike before the position turns profitable at expiration. Current TSYW IV rank near 12.28% sits in the lower third of its 1-year distribution, where IV often re-expands toward the mean; this favors premium-buying structures and disadvantages premium-selling structures on TSYW at 17.60%. As a Financial Services name, TSYW options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to TSYW-specific events.

TSYW strangle positions are structurally neutral / high-volatility (long premium, OTM); 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. TSYW positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move TSYW alongside the broader basket even when TSYW-specific fundamentals are unchanged. Always rebuild the position from current TSYW chain quotes before placing a trade.

Frequently asked questions

What is a strangle on TSYW?: A strangle on TSYW is the strangle strategy applied to TSYW (etf). The strategy is structurally neutral / high-volatility (long premium, OTM): A long strangle buys an OTM call and an OTM put at offset strikes, cheaper than a straddle but requiring a larger underlying move to profit since both wings start out-of-the-money. With TSYW etf at $38.23 on the September 29, 2026 close, the strikes shown on this page are snapped to the nearest listed TSYW chain strike and the premiums come straight from that session's bid/ask midpoint.
How are TSYW strangle max profit and max loss calculated?: Upside max profit is unbounded; downside max profit is bounded at the put strike minus the combined debit (reached at zero). Max loss equals the combined debit times 100 (reached anywhere between the two OTM strikes). Two breakevens at call-strike plus debit and put-strike minus debit. For the TSYW strangle priced from the September 29, 2026 end-of-day chain at a 30-day expiry (ATM IV 17.60%), the computed maximum profit is unbounded per contract and the computed maximum loss is -$146.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a TSYW strangle?: The breakeven for the TSYW strangle priced on this page is roughly $34.54 and $41.46 at expiration, derived from the September 29, 2026 end-of-day chain's premiums. Breakeven is the underlying price at which the strategy's P&L crosses zero ignoring transaction costs and assignment risk. The TSYW market-implied 1-standard-deviation expected move in the same options snapshot is approximately 5.05%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a strangle on TSYW?: Strangles on TSYW are the cheaper cousin of the straddle - traders use them when they want a large directional move but are willing to give up the inner-strike sensitivity in exchange for a lower up-front debit on the TSYW chain.
How does current TSYW implied volatility affect this strangle?: TSYW ATM IV is at 17.60% with IV rank near 12.28%, which is on the low end of its 1-year range. Premium-buying structures (long call, long put, debit spreads) are relatively cheap in this regime; premium-selling structures collect less credit per unit risk.