Binary Straddle Calculator

If you believe an upcoming move reduces to 2 possible outcomes (FDA ruling, merger arb, election) and can estimate the probability of up vs. down, then the straddle price implies how much the asset is expected to move in either of the 2 directions.

This calculator computes the expected move sizes for a binary event given a straddle price and the probability of an up or down move.

For a detailed example see this article.