SEPN Straddle Strategy
SEPN (Septerna, Inc.), in the Healthcare sector, (Biotechnology industry), listed on NASDAQ.
Septerna, Inc., a clinical-stage biotechnology company, discovers and develops G protein-coupled receptor (GPCR) oral small molecule products candidates for the treatment of endocrinology, immunology and inflammation, and metabolic diseases. The company develops SEP-786, an oral small molecule PTH1R agonist for hypoparathyroidism; SEP-631, an oral small molecule MRGPRX2 NAM for chronic spontaneous urticaria and other mast cell diseases; TSHR Program, an oral small molecule TSHR NAM for Graves' disease and thyroid eye disease. It also develops oral small molecule single- and multi-incretin receptor agonists for metabolic disorders including obesity and type 2 diabetes. Septerna, Inc. was formerly known as GPCR NewCo, Inc. and changed its name to Septerna Inc. in June 2021. The company was incorporated in 2019 and is headquartered in South San Francisco, California.
SEPN (Septerna, Inc.) trades in the Healthcare sector, specifically Biotechnology, with a market capitalization of approximately $1.12B, a beta of 2.20 versus the broader market, a 52-week range of 8.86-32.63, average daily share volume of 319K, a public-listing history dating back to 2024, approximately 75 full-time employees. These structural characteristics shape how SEPN stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 2.20 indicates SEPN 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 SEPN?
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 SEPN snapshot
As of May 15, 2026, spot at $27.27, ATM IV 64.80%, IV rank 7.57%, expected move 18.58%. The straddle on SEPN 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 SEPN specifically: SEPN IV at 64.80% is on the cheap side of its 1-year range, which favors premium-buying structures like a SEPN straddle, with a market-implied 1-standard-deviation move of approximately 18.58% (roughly $5.07 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 SEPN expiries trade a higher absolute premium for lower per-day decay. Position sizing on SEPN should anchor to the underlying notional of $27.27 per share and to the trader's directional view on SEPN stock.
SEPN straddle setup
The SEPN 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 SEPN near $27.27, the first option leg uses a $27.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed SEPN 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 SEPN shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $27.00 | $2.35 |
| Buy 1 | Put | $27.00 | $1.93 |
SEPN straddle risk and reward
- Net Premium / Debit
- -$427.50
- Max Profit (per contract)
- Unbounded
- Max Loss (per contract)
- -$413.90
- Breakeven(s)
- $22.73, $31.28
- 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.
SEPN straddle payoff curve
Modeled P&L at expiration across a range of underlying prices for the straddle on SEPN. 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% | +$2,271.50 |
| $6.04 | -77.9% | +$1,668.66 |
| $12.07 | -55.8% | +$1,065.81 |
| $18.10 | -33.6% | +$462.97 |
| $24.12 | -11.5% | -$139.88 |
| $30.15 | +10.6% | -$112.28 |
| $36.18 | +32.7% | +$490.57 |
| $42.21 | +54.8% | +$1,093.41 |
| $48.24 | +76.9% | +$1,696.25 |
| $54.27 | +99.0% | +$2,299.10 |
When traders use straddle on SEPN
Straddles on SEPN are pure-volatility plays that profit from large moves in either direction; traders typically buy SEPN straddles ahead of earnings, FDA decisions, or other catalysts where the realized move is expected to exceed the implied move priced into the chain.
SEPN thesis for this straddle
The market-implied 1-standard-deviation range for SEPN extends from approximately $22.20 on the downside to $32.34 on the upside. A SEPN 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 SEPN IV rank near 7.57% 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 SEPN at 64.80%. As a Healthcare name, SEPN options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to SEPN-specific events.
SEPN 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. SEPN positions also carry Healthcare sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move SEPN alongside the broader basket even when SEPN-specific fundamentals are unchanged. Always rebuild the position from current SEPN chain quotes before placing a trade.
Frequently asked questions
- What is a straddle on SEPN?
- A straddle on SEPN is the straddle strategy applied to SEPN (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 SEPN stock trading near $27.27, the strikes shown on this page are snapped to the nearest listed SEPN chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are SEPN 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 SEPN straddle priced from the end-of-day chain at a 30-day expiry (ATM IV 64.80%), the computed maximum profit is unbounded per contract and the computed maximum loss is -$413.90 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a SEPN straddle?
- The breakeven for the SEPN straddle priced on this page is roughly $22.73 and $31.28 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 SEPN market-implied 1-standard-deviation expected move is approximately 18.58%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a straddle on SEPN?
- Straddles on SEPN are pure-volatility plays that profit from large moves in either direction; traders typically buy SEPN 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 SEPN implied volatility affect this straddle?
- SEPN ATM IV is at 64.80% with IV rank near 7.57%, 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.