How are BAP 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 BAP strangle priced from the end-of-day chain at a 30-day expiry (ATM IV 38.50%), the computed maximum profit is unbounded per contract and the computed maximum loss is -$1,825.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a BAP strangle?

The breakeven for the BAP strangle priced on this page is roughly $281.75 and $348.25 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 BAP market-implied 1-standard-deviation expected move is approximately 11.04%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current BAP implied volatility affect this strangle?

BAP ATM IV is at 38.50% with IV rank near 43.41%, 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.

BAP Strangle Strategy

BAP (Credicorp Ltd.), in the Financial Services sector, (Banks - Regional industry), listed on NYSE.

Credicorp Ltd., a financial service holding company, provides various financial, insurance, and health services and products primarily in Peru and internationally. The company's Universal Banking segment offers deposits and current accounts, and various credits and financial instruments to individuals and legal entities. Its Insurance and Pensions segment issues insurance policies to cover losses in commercial property, transportation, marine vessels, automobile, life, health, and pensions, as well as provides private pension fund management services. The company's Microfinance segment manages loans, credits, deposits, and current accounts of the small and microenterprises. Its Investment Banking and Wealth Management segment offers its services to corporations, institutional investors, governments, and foundations; engages in structuring and placement of issues in the primary market, as well as the execution and negotiation of operations in the secondary market; and structures securitization processes for corporate customers and manages mutual funds. The company was founded in 1889 and is headquartered in Lima, Peru.

BAP (Credicorp Ltd.) trades in the Financial Services sector, specifically Banks - Regional, with a market capitalization of approximately $25.21B, a trailing P/E of 12.52, a beta of 0.84 versus the broader market, a 52-week range of 193.13-380.2, average daily share volume of 402K, a public-listing history dating back to 1995, approximately 39K full-time employees. These structural characteristics shape how BAP stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 0.84 places BAP roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. BAP pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.

What is a strangle on BAP?

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.

Current BAP snapshot

As of May 15, 2026, spot at $315.53, ATM IV 38.50%, IV rank 43.41%, expected move 11.04%. The strangle on BAP 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 strangle structure on BAP specifically: BAP IV at 38.50% 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 11.04% (roughly $34.83 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 BAP expiries trade a higher absolute premium for lower per-day decay. Position sizing on BAP should anchor to the underlying notional of $315.53 per share and to the trader's directional view on BAP stock.

BAP strangle setup

The BAP strangle below is built from the end-of-day chain, with each option leg priced at the bid/ask midpoint of its listed strike. With BAP near $315.53, the first option leg uses a $330.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed BAP 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 BAP shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$330.00	$5.60
Buy 1	Put	$300.00	$12.65

BAP strangle risk and reward

Net Premium / Debit: -$1,825.00
Max Profit (per contract): Unbounded
Max Loss (per contract): -$1,825.00
Breakeven(s): $281.75, $348.25
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.

BAP strangle payoff curve

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

Underlying Price	% From Spot	P&L at Expiration
$0.01	-100.0%	+$28,174.00
$69.77	-77.9%	+$21,197.57
$139.54	-55.8%	+$14,221.14
$209.30	-33.7%	+$7,244.70
$279.07	-11.6%	+$268.27
$348.83	+10.6%	+$58.16
$418.60	+32.7%	+$7,034.59
$488.36	+54.8%	+$14,011.03
$558.12	+76.9%	+$20,987.46
$627.89	+99.0%	+$27,963.89

When traders use strangle on BAP

Strangles on BAP 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 BAP chain.

BAP thesis for this strangle

The market-implied 1-standard-deviation range for BAP extends from approximately $280.70 on the downside to $350.36 on the upside. A BAP 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 BAP IV rank near 43.41% is mid-range against its 1-year distribution, so the IV signal is neutral; the strangle thesis on BAP should anchor more to the directional view and the expected-move geometry. As a Financial Services name, BAP options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to BAP-specific events.

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

Frequently asked questions

What is a strangle on BAP?: A strangle on BAP is the strangle strategy applied to BAP (stock). 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 BAP stock trading near $315.53, the strikes shown on this page are snapped to the nearest listed BAP chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
How are BAP 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 BAP strangle priced from the end-of-day chain at a 30-day expiry (ATM IV 38.50%), the computed maximum profit is unbounded per contract and the computed maximum loss is -$1,825.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a BAP strangle?: The breakeven for the BAP strangle priced on this page is roughly $281.75 and $348.25 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 BAP market-implied 1-standard-deviation expected move is approximately 11.04%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a strangle on BAP?: Strangles on BAP 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 BAP chain.
How does current BAP implied volatility affect this strangle?: BAP ATM IV is at 38.50% with IV rank near 43.41%, 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.