CRSP Straddle Strategy
CRSP (CRISPR Therapeutics AG), in the Healthcare sector, (Biotechnology industry), listed on NASDAQ.
CRISPR Therapeutics AG, a gene editing company, focuses on developing gene-based medicines for serious diseases using its proprietary Clustered Regularly Interspaced Short Palindromic Repeats (CRISPR)/CRISPR-associated protein 9 (Cas9) platform. Its CRISPR/Cas9 is a gene editing technology that allows for precise directed changes to genomic DNA. The company has a portfolio of therapeutic programs across a range of disease areas, including hemoglobinopathies, oncology, regenerative medicine, and rare diseases. The company's lead product candidate is CTX001, an ex vivo CRISPR gene-edited therapy for treating patients suffering from transfusion-dependent beta-thalassemia or severe sickle cell disease in which a patient's hematopoietic stem cells are engineered to produce high levels of fetal hemoglobin in red blood cells. It also develops CTX110, a donor-derived gene-edited allogeneic CAR-T investigational therapy targeting cluster of differentiation 19 positive malignancies; CTX120, a donor-derived gene-edited allogeneic CAR-T investigational therapy targeting B-cell maturation antigen for the treatment of relapsed or refractory multiple myeloma; and CTX130, a donor-derived gene-edited allogeneic CAR-T investigational therapy targeting Cluster of Differentiation 70 to treat various solid tumors and hematologic malignancies. In addition, the company develops VCTX210, a gene-edited immune-evasive stem cell-derived product candidate for the treatment of treatment of type 1 diabetes; and pursues various in vivo gene-editing programs that target the liver, lung, muscle, and central nervous system diseases.
CRSP (CRISPR Therapeutics AG) trades in the Healthcare sector, specifically Biotechnology, with a market capitalization of approximately $5.09B, a beta of 1.74 versus the broader market, a 52-week range of 34.87-78.48, average daily share volume of 1.9M, a public-listing history dating back to 2016, approximately 393 full-time employees. These structural characteristics shape how CRSP stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 1.74 indicates CRSP has historically moved more than the broader market, amplifying both the directional payoff and the realized volatility relative to an index-equivalent position.
What is a straddle on CRSP?
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 CRSP snapshot
As of May 15, 2026, spot at $48.77, ATM IV 53.87%, IV rank 12.78%, expected move 15.45%. The straddle on CRSP 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 28-day expiry.
Why this straddle structure on CRSP specifically: CRSP IV at 53.87% is on the cheap side of its 1-year range, which favors premium-buying structures like a CRSP straddle, with a market-implied 1-standard-deviation move of approximately 15.45% (roughly $7.53 on the underlying). The 28-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated CRSP expiries trade a higher absolute premium for lower per-day decay. Position sizing on CRSP should anchor to the underlying notional of $48.77 per share and to the trader's directional view on CRSP stock.
CRSP straddle setup
The CRSP 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 CRSP near $48.77, the first option leg uses a $49.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed CRSP chain at a 28-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 CRSP shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $49.00 | $2.70 |
| Buy 1 | Put | $49.00 | $3.00 |
CRSP straddle risk and reward
- Net Premium / Debit
- -$570.00
- Max Profit (per contract)
- Unbounded
- Max Loss (per contract)
- -$567.99
- Breakeven(s)
- $43.30, $54.70
- 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.
CRSP straddle payoff curve
Modeled P&L at expiration across a range of underlying prices for the straddle on CRSP. 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% | +$4,329.00 |
| $10.79 | -77.9% | +$3,250.78 |
| $21.57 | -55.8% | +$2,172.56 |
| $32.36 | -33.7% | +$1,094.34 |
| $43.14 | -11.5% | +$16.12 |
| $53.92 | +10.6% | -$77.89 |
| $64.70 | +32.7% | +$1,000.33 |
| $75.49 | +54.8% | +$2,078.55 |
| $86.27 | +76.9% | +$3,156.77 |
| $97.05 | +99.0% | +$4,234.99 |
When traders use straddle on CRSP
Straddles on CRSP are pure-volatility plays that profit from large moves in either direction; traders typically buy CRSP straddles ahead of earnings, FDA decisions, or other catalysts where the realized move is expected to exceed the implied move priced into the chain.
CRSP thesis for this straddle
The market-implied 1-standard-deviation range for CRSP extends from approximately $41.24 on the downside to $56.30 on the upside. A CRSP 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 CRSP IV rank near 12.78% 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 CRSP at 53.87%. As a Healthcare name, CRSP options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to CRSP-specific events.
CRSP 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. CRSP positions also carry Healthcare sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move CRSP alongside the broader basket even when CRSP-specific fundamentals are unchanged. Always rebuild the position from current CRSP chain quotes before placing a trade.
Frequently asked questions
- What is a straddle on CRSP?
- A straddle on CRSP is the straddle strategy applied to CRSP (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 CRSP stock trading near $48.77, the strikes shown on this page are snapped to the nearest listed CRSP chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are CRSP 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 CRSP straddle priced from the end-of-day chain at a 30-day expiry (ATM IV 53.87%), the computed maximum profit is unbounded per contract and the computed maximum loss is -$567.99 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a CRSP straddle?
- The breakeven for the CRSP straddle priced on this page is roughly $43.30 and $54.70 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 CRSP market-implied 1-standard-deviation expected move is approximately 15.45%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a straddle on CRSP?
- Straddles on CRSP are pure-volatility plays that profit from large moves in either direction; traders typically buy CRSP 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 CRSP implied volatility affect this straddle?
- CRSP ATM IV is at 53.87% with IV rank near 12.78%, 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.