Strangles, iron condors and straddles are among the most popular options strategies used by individual traders. Traders will often sell premium 30 – 40 days out and manage the spreads as the underlying stock price moves or as the options get closer to expiration.

Because most U.S. options markets are closed overnight, traders are left exposed to gamma risk from after-hours events – such as corporate announcements and geopolitical events –that can sharply move the underlying stock’s price.. A position that was near delta-neutral at the end of the trading day can wind up with substantial delta exposure due to the impact of gamma on the different options legs.

Single Stock futures offer a potential solution. Single Stock futures trade nearly around the clock five days a week, allowing traders to manage their delta exposure even when cash options markets are closed. In our example, we’ll use a short strangle on cash TSLA stock options to illustrate how this might work.

Note that we used an options calculator  from the website of a major U.S.-based options exchange to analyze the options strategy. We also used real-time prices from a U.S.-based broker-dealer to validate the calculator’s values.

Hypothetical position: For this hypothetical TSLA position we are selling 5 calls at the 430 strike, and selling 5 puts at the 330 strike, with a May 29th expiration.

Source: CME Group

• At execution, the position is nearly delta neutral:
  • The Puts had a delta of about 16, and the Calls had a delta of about 17 (the 5 contracts = the deltas above) 
• The hypothetical trade would collect 43.05 ($4,305.00) in premium

Now assume that the Tesla company makes an announcement after the cash equity/equity options markets close that causes the stock price to decline 4%.

For this example, the following will also be true: 

Assumption 1: We’re using the hypothetical value of the Tesla futures contract (STSLA) according to the calculation in the Appendix: 376.70 at execution. We’re also assuming the hypothetical futures contract price decline mirrors that of the underlying stock.

Assumption 2: We’re assuming an increase in implied volatility associated with the decline in price.

Using the same options calculator, we kept all inputs equal except for the 4% decline in price and the increase in implied volatility. . This results in the following theoretical values (see Figure 2): 

Source: CME Group

As you can see, this drop in price has led to 

• A larger increase in the value of the put than the decrease in the value of the call, resulting in a theoretical decline in the P&L of this position of 43.05 minus 50.06 = 7.01 ($701). 
• Moreover, because of the impact of gamma, the position has moved from nearly delta-neutral to a .75 delta, leaving it further exposed to downside price moves. 

Because Single Stock futures  trade nearly around the clock, a trader would be able to sell one Tesla futures contract (STSLA) against this position, even when the options market is closed. That reduces the delta from 0.75 to -0.25 (because the Tesla futures contract size is 100 shares). 

Source: CME Group

Now  let’s assume that the market falls by another 3%:

Source: CME Group

As you can see from the table in Figure 3, the short Tesla futures (STSLA) trade not only mitigated some of the potential losses resulting from the further downside move in price, but also maintained a “closer to delta neutral” overall position. 

A look at our basis calculation

To calculate the hypothetical Tesla futures (STSLA) price at a spot price of $373.24, we used the Cost of Carry model. Since Tesla does not currently pay a dividend, the futures price is determined by the spot price and the risk-free interest rate over the life of the contract.

The variables

Based on market data for April 27, 2026:

• Spot price ($S$): $373.24
• Risk-free rate ($r$): ~3.69% (3-month U.S. Treasury yield)
• Dividend yield ($d$): 0.00%
• Time to expiration ($T$): Variable (typically 3, 6, or 12 months)

The formula

We used the continuous compounding formula:

$$F = S \times e^{(r - d)T}$$

Hypothetical futures [rices

Here is how the price scales depending on the length of the futures contract:

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