CNR Straddle Strategy
CNR (Core Natural Resources, Inc.), in the Energy sector, (Coal industry), listed on NYSE.
Core Natural Resources, Inc., together with its subsidiaries, produces and sells bituminous coal in the United States and internationally. It operates through two segments, Pennsylvania Mining Complex (PAMC) and CONSOL Marine Terminal. The company's PAMC segment engages in the mining, preparing, and marketing of bituminous coal to power generators, industrial end-users, and metallurgical end-users. This segment includes the Bailey Mine, the Enlow Fork Mine, the Harvey Mine, and the central preparation plant. Its CONSOL Marine Terminal segment provides coal export terminal services through the Port of Baltimore. The company also develops and operates the Itmann Mining Complex located in Wyoming County, West Virginia; and Greenfield Reserves and Resources located in the Northern Appalachian, Central Appalachian, and Illinois basins.
CNR (Core Natural Resources, Inc.) trades in the Energy sector, specifically Coal, with a market capitalization of approximately $4.15B, a beta of 0.14 versus the broader market, a 52-week range of 64.15-114.8, average daily share volume of 986K, a public-listing history dating back to 2017, approximately 2K full-time employees. These structural characteristics shape how CNR stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.14 indicates CNR has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure. CNR pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a straddle on CNR?
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 CNR snapshot
As of May 15, 2026, spot at $83.28, ATM IV 46.20%, IV rank 19.78%, expected move 13.25%. The straddle on CNR 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 CNR specifically: CNR IV at 46.20% is on the cheap side of its 1-year range, which favors premium-buying structures like a CNR straddle, with a market-implied 1-standard-deviation move of approximately 13.25% (roughly $11.03 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 CNR expiries trade a higher absolute premium for lower per-day decay. Position sizing on CNR should anchor to the underlying notional of $83.28 per share and to the trader's directional view on CNR stock.
CNR straddle setup
The CNR 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 CNR near $83.28, the first option leg uses a $85.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed CNR 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 CNR shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $85.00 | $4.15 |
| Buy 1 | Put | $85.00 | $5.35 |
CNR straddle risk and reward
- Net Premium / Debit
- -$950.00
- Max Profit (per contract)
- Unbounded
- Max Loss (per contract)
- -$912.27
- Breakeven(s)
- $75.50, $94.50
- Risk / Reward Ratio
- Unbounded
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.
CNR straddle payoff curve
Modeled P&L at expiration across a range of underlying prices for the straddle on CNR. 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% | +$7,549.00 |
| $18.42 | -77.9% | +$5,707.74 |
| $36.84 | -55.8% | +$3,866.49 |
| $55.25 | -33.7% | +$2,025.23 |
| $73.66 | -11.6% | +$183.97 |
| $92.07 | +10.6% | -$242.72 |
| $110.49 | +32.7% | +$1,598.54 |
| $128.90 | +54.8% | +$3,439.79 |
| $147.31 | +76.9% | +$5,281.05 |
| $165.72 | +99.0% | +$7,122.31 |
When traders use straddle on CNR
Straddles on CNR are pure-volatility plays that profit from large moves in either direction; traders typically buy CNR straddles ahead of earnings, FDA decisions, or other catalysts where the realized move is expected to exceed the implied move priced into the chain.
CNR thesis for this straddle
The market-implied 1-standard-deviation range for CNR extends from approximately $72.25 on the downside to $94.31 on the upside. A CNR 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 CNR IV rank near 19.78% 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 CNR at 46.20%. As a Energy name, CNR options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to CNR-specific events.
CNR 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. CNR positions also carry Energy sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move CNR alongside the broader basket even when CNR-specific fundamentals are unchanged. Always rebuild the position from current CNR chain quotes before placing a trade.
Frequently asked questions
- What is a straddle on CNR?
- A straddle on CNR is the straddle strategy applied to CNR (stock). 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 CNR stock trading near $83.28, the strikes shown on this page are snapped to the nearest listed CNR chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are CNR 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 CNR straddle priced from the end-of-day chain at a 30-day expiry (ATM IV 46.20%), the computed maximum profit is unbounded per contract and the computed maximum loss is -$912.27 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a CNR straddle?
- The breakeven for the CNR straddle priced on this page is roughly $75.50 and $94.50 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 CNR market-implied 1-standard-deviation expected move is approximately 13.25%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a straddle on CNR?
- Straddles on CNR are pure-volatility plays that profit from large moves in either direction; traders typically buy CNR 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 CNR implied volatility affect this straddle?
- CNR ATM IV is at 46.20% with IV rank near 19.78%, 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.