How are LII 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 LII straddle priced from the end-of-day chain at a 30-day expiry (ATM IV 40.20%), the computed maximum profit is unbounded per contract and the computed maximum loss is -$3,964.73 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a LII straddle?

The breakeven for the LII straddle priced on this page is roughly $528.80 and $611.20 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 LII market-implied 1-standard-deviation expected move is approximately 11.53%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current LII implied volatility affect this straddle?

LII ATM IV is at 40.20% with IV rank near 51.98%, 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.

LII Straddle Strategy

LII (Lennox International Inc.), in the Industrials sector, (Construction industry), listed on NYSE.

Lennox International Inc. is a global manufacturer and distributor specializing in heating, ventilation, air conditioning (HVAC), and refrigeration solutions. The company operates across three divisions: Residential Heating & Cooling, Commercial Heating & Cooling, and Refrigeration. Its Residential Heating & Cooling division supplies homeowners with systems like furnaces, air conditioners, and heat pumps, along with indoor air quality products, comfort controls, and replacement components, catering to both new construction and existing residential upgrades. The Commercial Heating & Cooling division serves the light commercial sector, providing unitary HVAC equipment, advanced applied systems, control technologies, and comprehensive installation and maintenance services, including variable refrigerant flow solutions. Lastly, the Refrigeration division delivers essential components such as condensing units, unit coolers, and industrial chillers. These are crucial for food preservation in retail, hospitality, and logistics (e.g., supermarkets, restaurants, warehouses), as well as for specialized cooling needs in data centers, machine tooling, and other industrial applications.

LII (Lennox International Inc.) trades in the Industrials sector, specifically Construction, with a market capitalization of approximately $19.62B, a trailing P/E of 25.06, a beta of 1.19 versus the broader market, a 52-week range of 434.06-689.44, average daily share volume of 441K, a public-listing history dating back to 1999, approximately 5K full-time employees. These structural characteristics shape how LII stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 1.19 places LII roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. LII pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.

What is a straddle on LII?

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 LII snapshot

As of June 29, 2026, spot at $568.69, ATM IV 40.20%, IV rank 51.98%, expected move 11.53%. The straddle on LII 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 18-day expiry.

Why this straddle structure on LII specifically: LII IV at 40.20% 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 11.53% (roughly $65.54 on the underlying). The 18-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated LII expiries trade a higher absolute premium for lower per-day decay. Position sizing on LII should anchor to the underlying notional of $568.69 per share and to the trader's directional view on LII stock.

LII straddle setup

The LII 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 LII near $568.69, the first option leg uses a $570.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed LII chain at a 18-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 LII shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$570.00	$20.10
Buy 1	Put	$570.00	$21.10

LII straddle risk and reward

Net Premium / Debit: -$4,120.00
Max Profit (per contract): Unbounded
Max Loss (per contract): -$3,964.73
Breakeven(s): $528.80, $611.20
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.

LII straddle payoff curve

Modeled P&L at expiration across a range of underlying prices for the straddle on LII. 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%	+$52,879.00
$125.75	-77.9%	+$40,305.06
$251.49	-55.8%	+$27,731.12
$377.23	-33.7%	+$15,157.18
$502.97	-11.6%	+$2,583.24
$628.71	+10.6%	+$1,750.70
$754.45	+32.7%	+$14,324.64
$880.19	+54.8%	+$26,898.58
$1,005.93	+76.9%	+$39,472.52
$1,131.66	+99.0%	+$52,046.46

When traders use straddle on LII

Straddles on LII are pure-volatility plays that profit from large moves in either direction; traders typically buy LII straddles ahead of earnings, FDA decisions, or other catalysts where the realized move is expected to exceed the implied move priced into the chain.

LII thesis for this straddle

The market-implied 1-standard-deviation range for LII extends from approximately $503.15 on the downside to $634.23 on the upside. A LII 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 LII IV rank near 51.98% is mid-range against its 1-year distribution, so the IV signal is neutral; the straddle thesis on LII should anchor more to the directional view and the expected-move geometry. As a Industrials name, LII options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to LII-specific events.

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

Frequently asked questions

What is a straddle on LII?: A straddle on LII is the straddle strategy applied to LII (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 LII stock trading near $568.69, the strikes shown on this page are snapped to the nearest listed LII chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
How are LII 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 LII straddle priced from the end-of-day chain at a 30-day expiry (ATM IV 40.20%), the computed maximum profit is unbounded per contract and the computed maximum loss is -$3,964.73 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a LII straddle?: The breakeven for the LII straddle priced on this page is roughly $528.80 and $611.20 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 LII market-implied 1-standard-deviation expected move is approximately 11.53%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a straddle on LII?: Straddles on LII are pure-volatility plays that profit from large moves in either direction; traders typically buy LII 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 LII implied volatility affect this straddle?: LII ATM IV is at 40.20% with IV rank near 51.98%, 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.