SPRY Straddle Strategy
SPRY (ARS Pharmaceuticals, Inc.), in the Healthcare sector, (Biotechnology industry), listed on NASDAQ.
ARS Pharmaceuticals, Inc. develops ARS-1, a novel intranasal epinephrine spray with absorption technology for patients and their families at-risk of severe allergic reactions to food, medications, and insect bites. Its product includes Neffy, a low-dose intranasal epinephrine nasal spray. The company was incorporated in 2015 and is based in San Diego, California.
SPRY (ARS Pharmaceuticals, Inc.) trades in the Healthcare sector, specifically Biotechnology, with a market capitalization of approximately $795.4M, a beta of 0.80 versus the broader market, a 52-week range of 6.66-18.9, average daily share volume of 1.5M, a public-listing history dating back to 2020, approximately 155 full-time employees. These structural characteristics shape how SPRY stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.80 places SPRY roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline.
What is a straddle on SPRY?
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 SPRY snapshot
As of May 15, 2026, spot at $7.38, ATM IV 92.00%, IV rank 23.29%, expected move 26.38%. The straddle on SPRY 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 SPRY specifically: SPRY IV at 92.00% is on the cheap side of its 1-year range, which favors premium-buying structures like a SPRY straddle, with a market-implied 1-standard-deviation move of approximately 26.38% (roughly $1.95 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 SPRY expiries trade a higher absolute premium for lower per-day decay. Position sizing on SPRY should anchor to the underlying notional of $7.38 per share and to the trader's directional view on SPRY stock.
SPRY straddle setup
The SPRY 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 SPRY near $7.38, the first option leg uses a $7.38 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed SPRY 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 SPRY shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $7.38 | N/A |
| Buy 1 | Put | $7.38 | N/A |
SPRY straddle 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 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.
SPRY straddle payoff curve
Modeled P&L at expiration across a range of underlying prices for the straddle on SPRY. 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 straddle on SPRY
Straddles on SPRY are pure-volatility plays that profit from large moves in either direction; traders typically buy SPRY straddles ahead of earnings, FDA decisions, or other catalysts where the realized move is expected to exceed the implied move priced into the chain.
SPRY thesis for this straddle
The market-implied 1-standard-deviation range for SPRY extends from approximately $5.43 on the downside to $9.33 on the upside. A SPRY 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 SPRY IV rank near 23.29% 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 SPRY at 92.00%. As a Healthcare name, SPRY options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to SPRY-specific events.
SPRY 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. SPRY positions also carry Healthcare sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move SPRY alongside the broader basket even when SPRY-specific fundamentals are unchanged. Always rebuild the position from current SPRY chain quotes before placing a trade.
Frequently asked questions
- What is a straddle on SPRY?
- A straddle on SPRY is the straddle strategy applied to SPRY (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 SPRY stock trading near $7.38, the strikes shown on this page are snapped to the nearest listed SPRY chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are SPRY 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 SPRY straddle priced from the end-of-day chain at a 30-day expiry (ATM IV 92.00%), 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 SPRY straddle?
- The breakeven for the SPRY straddle 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 SPRY market-implied 1-standard-deviation expected move is approximately 26.38%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a straddle on SPRY?
- Straddles on SPRY are pure-volatility plays that profit from large moves in either direction; traders typically buy SPRY 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 SPRY implied volatility affect this straddle?
- SPRY ATM IV is at 92.00% with IV rank near 23.29%, 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.