NI Strangle Strategy
NI (NiSource Inc), in the Utilities sector, (Regulated Gas industry), listed on NYSE.
NiSource Inc., an energy holding company, operates as a regulated natural gas and electric utility company in the United States. It operates in two segments, Columbia Operations and NIPSCO Operations. The company provides natural gas to residential, commercial, and industrial customers through approximately 37,300 miles of distribution main pipeline and the associated individual customer service lines; and 310 miles of transmission main pipeline in Ohio, Pennsylvania, Virginia, Kentucky, and Maryland. It also generates, transmits, and distributes electricity to approximately 0.5 million customers in various counties in the northern part of Indiana, as well as engages in wholesale electric and transmission transactions. It owns and operates steam coal generating stations in Wheatfield and Michigan City; combined cycle gas turbine in West Terre Haute; natural gas generating units in Wheatfield; hydro generating plants in Carroll County and White County; wind generating units in White County; and solar generating units in Sullivan County, Gibson County, Jasper County, and White County. The company was formerly known as NIPSCO Industries, Inc. and changed its name to NiSource Inc. in April 1999.
NI (NiSource Inc) trades in the Utilities sector, specifically Regulated Gas, with a market capitalization of approximately $23.49B, a trailing P/E of 24.40, a beta of 0.55 versus the broader market, a 52-week range of 38.45-49.07, average daily share volume of 4.4M, a public-listing history dating back to 1973, approximately 8K full-time employees. These structural characteristics shape how NI stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.55 indicates NI has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure. NI pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a strangle on NI?
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 NI snapshot
As of June 30, 2026, spot at $47.75, ATM IV 160.00%, IV rank 41.18%, expected move 45.87%. The strangle on NI 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 17-day expiry.
Why this strangle structure on NI specifically: NI IV at 160.00% 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 45.87% (roughly $21.90 on the underlying). The 17-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated NI expiries trade a higher absolute premium for lower per-day decay. Position sizing on NI should anchor to the underlying notional of $47.75 per share and to the trader's directional view on NI stock.
NI strangle setup
The NI 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 NI near $47.75, the first option leg uses a $50.14 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed NI chain at a 17-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 NI shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $50.14 | N/A |
| Buy 1 | Put | $45.36 | N/A |
NI strangle risk and reward
- Net Premium / Debit
- N/A
- Max Profit (per contract)
- Unbounded
- Max Loss (per contract)
- Unbounded
- Breakeven(s)
- None on modeled curve
- Risk / Reward Ratio
- N/A
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.
NI strangle payoff curve
Modeled P&L at expiration across a range of underlying prices for the strangle on NI. 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.
When traders use strangle on NI
Strangles on NI 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 NI chain.
NI thesis for this strangle
The market-implied 1-standard-deviation range for NI extends from approximately $25.85 on the downside to $69.65 on the upside. A NI 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 NI IV rank near 41.18% is mid-range against its 1-year distribution, so the IV signal is neutral; the strangle thesis on NI should anchor more to the directional view and the expected-move geometry. As a Utilities name, NI options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to NI-specific events.
NI 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. NI positions also carry Utilities sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move NI alongside the broader basket even when NI-specific fundamentals are unchanged. Always rebuild the position from current NI chain quotes before placing a trade.
Frequently asked questions
- What is a strangle on NI?
- A strangle on NI is the strangle strategy applied to NI (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 NI stock trading near $47.75, the strikes shown on this page are snapped to the nearest listed NI chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are NI 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 NI strangle priced from the end-of-day chain at a 30-day expiry (ATM IV 160.00%), the computed maximum profit is unbounded per contract and the computed maximum loss is unbounded per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a NI strangle?
- The breakeven for the NI strangle priced on this page is no defined breakeven on the modeled curve 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 NI market-implied 1-standard-deviation expected move is approximately 45.87%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a strangle on NI?
- Strangles on NI 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 NI chain.
- How does current NI implied volatility affect this strangle?
- NI ATM IV is at 160.00% with IV rank near 41.18%, 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.