What a AMZN straddle actually costs

$271.58Amazon.Com Inc · chain snapshot captured Aug 1, 2026

Deep chain, no dividend, and an IV term structure that steepens hard into earnings. The no-dividend part matters: short calls here carry no early-assignment-for-the-dividend risk, which simplifies covered-call management.

Buying the Aug 28 $270 call and put together on AMZN costs $1,916. That is the market's price for 27 days of movement in either direction, and it is the cleanest read on what 33% implied vol actually means: AMZN has to close beyond $250.84 or $289.16 — a 7.1% move — before you make a cent.

The trade, priced from the chain

27d to August 28, 2026

Leg	Qty	Price	Δ	IV	Cash
BuyAug 28 $270 call	1	$10.66	0.54	34%	−$1,066
BuyAug 28 $270 put	1	$8.50	-0.47	31%	−$850

Net debit

$1,916

Max profit

Unlimited

Max loss

$1,916

Chance of profit

43%

Breakevens

$250.84 / $289.16

−7.6% / +6.5%

$237.43 – $302.57 price rangespot $271.58breakeven $250.84 · $289.16P/L at expiration

Open this long straddle in the builderLoads these exact legs and re-quotes them live. No account needed.

Every leg above is priced at the chain’s own quote — the identical number the builder will show you when you click through (last traded price), captured August 1, 2026 with a 15-minute delay. Only strikes whose print survives an implied-volatility check (within 20% of its own IV) and a no-arbitrage check across the ladder are priced here. Full methodology. Greeks, breakevens, max profit/loss and probability of profit are computed by OptionTracker’s engine at r = 4.2%. Educational analysis, not investment advice.

How a long straddle works

A straddle is a pure volatility position. Both legs sit at $270, so the structure starts delta-neutral: you have no directional opinion, only a view that the realized move will exceed the 7.1% the market is charging.

Max loss is the full $1,916 debit, suffered if AMZN pins exactly at $270 on August 28, 2026. Upside is unlimited above the call breakeven and very large below the put one — which is why the engine reports max profit as unlimited.

Theta is the enemy and it is brutal on an ATM straddle: both legs are pure extrinsic value, decaying every day, accelerating into expiry. The engine's 43% probability of profit reflects that — straddles are low-probability, high-payoff trades by construction.

Vega is the friend. Rising implied vol lifts both legs regardless of direction, which is why straddles are often bought weeks before earnings and sold into it rather than held through it.

When it makes sense

You expect a move materially bigger than 7.1% and you genuinely do not know the direction.
Implied vol is cheap relative to what AMZN has been realizing. At 33% ATM, AMZN is the 14th richest of the 20 underlyings on this site — buying vol only works when you're buying it below its fair level.
You want long vega ahead of an event, with the intention of exiting before the crush rather than through it.
The catalyst is far enough out that theta has not started compounding against you, and near enough that you are not funding two months of silence.

Where the risk actually is

The classic straddle failure is being right and losing anyway: AMZN moves 4%, you needed 7.1%, and the IV crush after the event takes the rest. Buying a straddle the day before earnings is a bet on the size of the move exceeding what everyone else already priced.

Time is a fixed cost. Over 27 days the position bleeds theta continuously, and the bleed accelerates in the final two weeks. A straddle held to expiry with no move loses 100%.

The decay is relentless and it is front-loaded against you in exactly the window most retail traders hold. A long-vol position with no exit plan is a slow, fully-predictable loss.

AMZN specifics: ladder, surface, and the implied move

The term structure into an Amazon print is one of the steepest on this list, which makes the calendar the natural expression: sell the expensive front month, own the back. Straddles bought inside the front week are paying the peak of that curve.

AMZN's Aug 28 strikes are $5 apart near the money (1.84% of spot). Coarse enough that the strike you want frequently does not exist, and the nearest rung is a different trade. 16k contracts of open interest on Aug 28 is workable around the money and thin in the wings — width costs more here than the ladder suggests. 23 strikes on that expiry — 50% of the board — carry prints that agree with their own implied volatility and hold up across the ladder, and those are the strikes priced here. Deep at every strike; the far-dated back month a calendar needs is liquid enough to leg if you must.

Skew is inverted: the 25-delta CALL implies 1.3% more vol than the put. That is the market pricing upside risk above downside risk — a squeeze, a takeover rumour, or a crowded short. Owning upside on an inverted skew means paying the expensive side of the surface, which is worth knowing before you buy the call. The term structure is flat inside 1.5% between the two captured expiries, so there is no calendar edge to harvest and no event visibly priced into one month over the other.

At 33% ATM implied vol, the Aug 28 options are pricing a one-standard-deviation move of $24.05 over 27 days — roughly −8.9% to +8.9%, or $247.53 to $295.63. The implied move is the market's bid for the exact thing this structure is long. Buying it at fair value and hoping is not a strategy.

The mistake this name punishes hardest: Buying the holiday-quarter straddle because the narrative is loud. That print's implied move is usually the year's largest and usually adequate.

Picking the strike on AMZN

A straddle is by definition ATM, so the choices are expiry and whether to widen into a strangle. Deltas on AMZN at $271.58:

Band	What it means	When it fits
ATM (0.50 Δ call + −0.50 Δ put)	The textbook straddle	Maximum vega and gamma per dollar; also maximum theta. The construction quoted above.On AMZN: the Aug 28 $270 put at $8.50, 42% annualized
Nearest listed strike	Rarely exactly 0.50 Δ	On AMZN the closest strike to $271.58 is $270 — a small directional lean is unavoidable.
Widen to a strangle	Cheaper, needs a bigger move	Lower debit, worse breakevens. Compare both before committing.
Longer expiry	More vega, slower decay	If the thesis is vol expansion rather than a dated event, buy time.

The Aug 28 call chain below shows how quickly extrinsic value falls away from the money — that curve is exactly what you are paying for when you buy both sides at the same strike.

The premium varies 8.7× across the nine strikes below. Everything the delta table is trying to tell you is visible in that gradient. Open interest concentrates at $260 on this expiry, which is usually where the fills are cleanest.

AMZN 2026-08-28 puts around the money: strike, distance from spot, mid price, delta, implied volatility and open interest.
Strike	vs spot	Mid	Δ	IV	% of spot	Ann.	OI
$250	−7.9%	$2.32	-0.17	33%	0.9%	12%	217
$255	−6.1%	$3.29	-0.23	32%	1.2%	16%	72
$260	−4.3%	$4.65	-0.30	32%	1.7%	23%	254
$265	−2.4%	$6.30	-0.38	31%	2.3%	31%	0
$270used	−0.6%	$8.50	-0.47	31%	3.1%	42%	24
$275	+1.3%	$10.70	-0.56	30%	3.9%	53%	3
$280	+3.1%	$13.60	-0.65	29%	5.0%	68%	17
$285	+4.9%	$16.45	-0.73	29%	6.1%	82%	0
$290	+6.8%	$20.15	-0.80	29%	7.4%	100%	25

AMZN puts expiring August 28, 2026· 15-min delayed capture · “Ann.” annualizes the mid as a percentage of spot over 27 days.

Managing the position

Consider closing the losing leg only if you have converted to a directional view — otherwise you have turned a vol trade into a naked option.
Do not hold ATM straddles into the last week without a reason. Theta there is the steepest part of the curve.
Delta-hedging turns a directional accident back into a vol position, but only if you actually do it on a schedule. Ad-hoc hedging is just trading the stock with extra steps.
Compare the structure against the calendar before entering. Owning a front month that contains the event and a back month that does not is a different trade from owning both.

Common mistakes

Buying the straddle the day before the event

Everyone knows the event is coming, so IV already prices it. The $1,916 you pay is the consensus estimate of the move; you need to beat it, not match it.

Sizing it like a stock position

Straddles lose 100% routinely. Position size should assume the debit goes to zero.

Mistaking a big move for a profit

The breakevens sit outside the implied move by the width of the spread you paid. A dramatic-looking session can still settle inside them.

AMZN long straddle FAQ

Straddle or strangle on AMZN?

The straddle costs more and has closer breakevens; the strangle is cheaper and needs a bigger move. Price both — the strangle page on this site prices the same expiry — and pick the one whose breakevens match your actual expectation.

What is the max loss?

$1,916 — the full debit — realized if AMZN closes exactly at $270 on August 28, 2026. Practically, any close near the strike loses most of it.

Is AMZN option skew favouring puts or calls?

Calls. The 25-delta call implies 1.3% more volatility than the 25-delta put on the Aug 28 chain — an inverted skew, usually a sign of squeeze or event risk to the upside.

How wide are AMZN option strikes?

About $5 apart near the money on the Aug 28 expiry — 1.84% of the share price per rung. That sets how precisely you can place a short strike, and how granular a spread's width can be.

Build it yourself

Everything above is one construction at one moment. Open it in the builder to drag strikes along the ladder, scrub the expiry, and watch max profit, breakevens and probability of profit recompute live against the real AMZN chain — free, no account.

Open the AMZN long straddle All 50+ strategies on AMZN