How are OLLI 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 OLLI straddle priced from the end-of-day chain at a 30-day expiry (ATM IV 43.40%), the computed maximum profit is unbounded per contract and the computed maximum loss is -$551.65 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a OLLI straddle?

The breakeven for the OLLI straddle priced on this page is roughly $69.13 and $80.88 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 OLLI market-implied 1-standard-deviation expected move is approximately 12.44%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current OLLI implied volatility affect this straddle?

OLLI ATM IV is at 43.40% with IV rank near 26.69%, 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.

OLLI Straddle Strategy

OLLI (Ollie's Bargain Outlet Holdings, Inc.), in the Consumer Defensive sector, (Discount Stores industry), listed on NASDAQ.

Ollie's Bargain Outlet Holdings, Inc. operates as a leading discount retailer, offering a wide variety of brand-name goods. The company's diverse inventory includes home essentials such as housewares, bed and bath products, and floor coverings, as well as food items, health and beauty aids, books, stationery, toys, and electronics. Additionally, they stock hardware, confectionery, apparel, sporting goods, pet supplies, and lawn and garden items. Ollie's markets its products under various proprietary labels, including Ollie's, Ollie's Bargain Outlet, Good Stuff Cheap, Ollie's Army, Real Brands Real Cheap!, Real Brands! Real Bargains, Sarasota Breeze, Steelton Tools, American Way, and Middleton Home. As of August 3, 2022, the company maintained 450 retail locations across 29 states, covering approximately half of the United States.

OLLI (Ollie's Bargain Outlet Holdings, Inc.) trades in the Consumer Defensive sector, specifically Discount Stores, with a market capitalization of approximately $4.35B, a trailing P/E of 17.55, a beta of 0.46 versus the broader market, a 52-week range of 70.85-141.74, average daily share volume of 1.8M, a public-listing history dating back to 2015, approximately 6K full-time employees. These structural characteristics shape how OLLI stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 0.46 indicates OLLI has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure.

What is a straddle on OLLI?

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 OLLI snapshot

As of June 30, 2026, spot at $76.56, ATM IV 43.40%, IV rank 26.69%, expected move 12.44%. The straddle on OLLI 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 straddle structure on OLLI specifically: OLLI IV at 43.40% is on the cheap side of its 1-year range, which favors premium-buying structures like a OLLI straddle, with a market-implied 1-standard-deviation move of approximately 12.44% (roughly $9.53 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 OLLI expiries trade a higher absolute premium for lower per-day decay. Position sizing on OLLI should anchor to the underlying notional of $76.56 per share and to the trader's directional view on OLLI stock.

OLLI straddle setup

The OLLI 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 OLLI near $76.56, the first option leg uses a $75.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed OLLI 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 OLLI shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$75.00	$3.70
Buy 1	Put	$75.00	$2.18

OLLI straddle risk and reward

Net Premium / Debit: -$587.50
Max Profit (per contract): Unbounded
Max Loss (per contract): -$551.65
Breakeven(s): $69.13, $80.88
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.

OLLI straddle payoff curve

Modeled P&L at expiration across a range of underlying prices for the straddle on OLLI. 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%	+$6,911.50
$16.94	-77.9%	+$5,218.83
$33.86	-55.8%	+$3,526.15
$50.79	-33.7%	+$1,833.48
$67.72	-11.6%	+$140.81
$84.64	+10.6%	+$376.87
$101.57	+32.7%	+$2,069.54
$118.50	+54.8%	+$3,762.21
$135.42	+76.9%	+$5,454.89
$152.35	+99.0%	+$7,147.56

When traders use straddle on OLLI

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

OLLI thesis for this straddle

The market-implied 1-standard-deviation range for OLLI extends from approximately $67.03 on the downside to $86.09 on the upside. A OLLI 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 OLLI IV rank near 26.69% 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 OLLI at 43.40%. As a Consumer Defensive name, OLLI options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to OLLI-specific events.

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

Frequently asked questions

What is a straddle on OLLI?: A straddle on OLLI is the straddle strategy applied to OLLI (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 OLLI stock trading near $76.56, the strikes shown on this page are snapped to the nearest listed OLLI chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
How are OLLI 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 OLLI straddle priced from the end-of-day chain at a 30-day expiry (ATM IV 43.40%), the computed maximum profit is unbounded per contract and the computed maximum loss is -$551.65 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a OLLI straddle?: The breakeven for the OLLI straddle priced on this page is roughly $69.13 and $80.88 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 OLLI market-implied 1-standard-deviation expected move is approximately 12.44%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a straddle on OLLI?: Straddles on OLLI are pure-volatility plays that profit from large moves in either direction; traders typically buy OLLI 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 OLLI implied volatility affect this straddle?: OLLI ATM IV is at 43.40% with IV rank near 26.69%, 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.