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Straddle rules

US tax rules for offsetting positions that defer losses on one leg while gains on the other are unrealised, suspend holding periods and capitalise certain carrying costs.

A tax straddle is broader than the options strategy of the same name. It arises whenever you hold offsetting positions in personal property that substantially reduce risk of loss, which includes many hedged equity and commodity books.

The consequences are three. Losses on a closed leg are deferred to the extent of unrecognised gain in the remaining offsetting position, the holding-period of the position is suspended while the straddle exists, and interest and carrying charges must be capitalised rather than deducted.

Identified straddles and the mixed-straddle-election provide structured alternatives, and positions consisting entirely of section-1256 contracts are largely outside the problem because everything is marked at year end anyway.

This is general information for the United States, not tax advice. Rules change and depend on your circumstances; consult a qualified tax professional.

Related: mixed-straddle-election, section-1256, constructive-sale, holding-period, iron-condor

See it drawn

Original diagrams for the ideas on this page. Illustrative, not real market data.

Payoff of a long straddle at expiryA V shape with its point at the strike and both arms rising through zero as the price moves away.Profit / loss per share08090110120Profit if the move is big enough, in either directionStrike 100Breakeven 92Breakeven 108Max loss 8 — both premiums, if it finishes at 100Underlying price at expiry
Long straddle: payoff at expiry. A 100 call and a 100 put bought together for 8 make a V. A quiet market that ends near 100 costs the whole 8; the position only turns positive once the price finishes below 92 or above 108, whichever way it goes.

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