{"slug":"what-is-a-risk-reversal","qid":"payoff","label":"Payoff per share at expiration across AAPL prices, against owning the shares","post_title":"Risk Reversal Options: Sell a Put, Buy a Call","post_url":"/blog/what-is-a-risk-reversal#q-payoff","columns":["stock_at_expiry","short_put_pnl","long_call_pnl","risk_reversal_pnl","stock_only_pnl"],"rows":[{"stock_at_expiry":"$244 (-25%)","short_put_pnl":-60.25,"long_call_pnl":-4.6,"risk_reversal_pnl":-64.85,"stock_only_pnl":-81.5},{"stock_at_expiry":"$261 (-20%)","short_put_pnl":-43.95,"long_call_pnl":-4.6,"risk_reversal_pnl":-48.55,"stock_only_pnl":-65.2},{"stock_at_expiry":"$277 (-15%)","short_put_pnl":-27.65,"long_call_pnl":-4.6,"risk_reversal_pnl":-32.25,"stock_only_pnl":-48.9},{"stock_at_expiry":"$293 (-10%)","short_put_pnl":-11.35,"long_call_pnl":-4.6,"risk_reversal_pnl":-15.95,"stock_only_pnl":-32.6},{"stock_at_expiry":"$310 (-5%)","short_put_pnl":4.95,"long_call_pnl":-4.6,"risk_reversal_pnl":0.35,"stock_only_pnl":-16.3},{"stock_at_expiry":"$326 (+0%)","short_put_pnl":5.25,"long_call_pnl":-4.6,"risk_reversal_pnl":0.65,"stock_only_pnl":0},{"stock_at_expiry":"$342 (+5%)","short_put_pnl":5.25,"long_call_pnl":-4.6,"risk_reversal_pnl":0.65,"stock_only_pnl":16.3},{"stock_at_expiry":"$359 (+10%)","short_put_pnl":5.25,"long_call_pnl":6.5,"risk_reversal_pnl":11.75,"stock_only_pnl":32.6},{"stock_at_expiry":"$375 (+15%)","short_put_pnl":5.25,"long_call_pnl":22.8,"risk_reversal_pnl":28.05,"stock_only_pnl":48.9},{"stock_at_expiry":"$391 (+20%)","short_put_pnl":5.25,"long_call_pnl":39.1,"risk_reversal_pnl":44.35,"stock_only_pnl":65.2},{"stock_at_expiry":"$408 (+25%)","short_put_pnl":5.25,"long_call_pnl":55.4,"risk_reversal_pnl":60.65,"stock_only_pnl":81.5}],"shape":"table","sql":"SELECT\n    concat('$', toString(round(px, 0)), ' (', if(step >= 0, '+', ''), toString(step), '%)') AS stock_at_expiry,\n    round(put_premium - greatest(put_strike - px, 0), 2)     AS short_put_pnl,\n    round(greatest(px - call_strike, 0) - call_premium, 2)   AS long_call_pnl,\n    round(short_put_pnl + long_call_pnl, 2)                  AS risk_reversal_pnl,\n    round(px - spot, 2)                                      AS stock_only_pnl\nFROM\n(\n    SELECT\n        arrayJoin([-25, -20, -15, -10, -5, 0, 5, 10, 15, 20, 25])  AS step,\n        spot * (1 + step / 100)                                     AS px,\n        put_strike, put_premium, call_strike, call_premium, spot\n    FROM\n    (\n        SELECT\n            anyIf(strike, side = 'put')     AS put_strike,\n            anyIf(premium, side = 'put')    AS put_premium,\n            anyIf(strike, side = 'call')    AS call_strike,\n            anyIf(premium, side = 'call')   AS call_premium,\n            any(spot)                       AS spot\n        FROM\n        (\n            SELECT\n                if(delta < 0, 'put', 'call')   AS side,\n                toFloat64(strike_price)        AS strike,\n                toFloat64(option_close)        AS premium,\n                toFloat64(underlying_close)    AS spot\n            FROM global_markets.options_greeks\n            WHERE underlying_symbol = 'AAPL'\n              AND date = '2026-07-20'\n              AND expiration_date = '2026-08-21'\n              AND iv_converged = 1\n              AND volume > 0\n            ORDER BY abs(abs(delta) - 0.25)\n            LIMIT 1 BY side\n        )\n    )\n)\nORDER BY step","computed_at":"2026-09-19T15:30:57.913982+00:00","elapsed":0.045492446}