SDX Commodities Help > Supported Instruments > Vanilla Strategies > 2-Vol Strangle

2-Vol Strangle

A 2-vol strangle (str) is simply a Strangle where the market volatility of each of the two OTM strikes is displayed individually.

The regular strangle, as quoted in the market, quotes a single volatility. This single volatility gives the same price as the 2-vol strangle.

Pricing a 2-vol strangle in SDX Commodities & Energy

When pricing a strangle note the following:

You can only enter it automatically in the Single Option page. To price a 2-vol strangle in the Portfolio page, you need to build it manually out of its individual components.