ZEBRA (Zero Extrinsic Back Ratio) Calculator
A ZEBRA (Zero Extrinsic Back Ratio) buys two in-the-money calls and sells one at-the-money call. The structure nets a delta near +100 — so it moves almost dollar-for-dollar with the stock — while the sold call cancels out most of the time value, giving stock-like upside with very little theta decay and a defined, limited downside.
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Key characteristics
- Buy two ITM calls, sell one ATM call: net delta near +100 (stock-like).
- The short call offsets the extrinsic value, so time decay is near zero.
- Unlimited upside; max loss is limited to the net debit paid.
- A capital-efficient, lower-decay substitute for buying stock or a single call.
When to use a ZEBRA
Use a ZEBRA when you are bullish and want stock-like exposure without paying for time value or risking unlimited capital. Because the position is roughly 100-delta with near-zero theta, it tracks the stock closely but bleeds far less than a plain long call if the move takes time.
It is popular as a replacement for 100 shares or a single in-the-money call: similar upside, defined risk, and you are not punished by decay while you wait for the thesis to play out.
Risks and mechanics
The maximum loss is the net debit, realised if the stock falls below the long strikes by expiration — larger than a single call would risk, because you bought two. It is a leveraged bullish bet, so size it accordingly.
The "zero extrinsic" balance only holds near entry; as the stock moves and time passes the Greeks drift, so it is usually managed or closed before expiration rather than held to the end.
Calculate it live
Use the free OptionProfit ZEBRA (Zero Extrinsic Back Ratio) calculator to load a live option chain, build the trade, and instantly see the payoff chart, breakevens, probability of profit, Greeks and a Monte Carlo simulation of outcomes.
- Two ITM calls − one ATM call ≈ +100 delta with near-zero time decay.
- Stock-like upside, defined downside (the net debit), capital-efficient.
- A lower-decay alternative to 100 shares or a single long call.
- Leveraged and best managed before expiration as the Greeks drift.
Frequently asked questions
What does "zero extrinsic" mean?
The two long in-the-money calls carry extrinsic (time) value, and the one short at-the-money call you sell has roughly the same amount — so they cancel, leaving a position made almost entirely of intrinsic value with little theta decay.
Why use a ZEBRA instead of buying the stock?
It gives similar ~100-delta upside for a fraction of the capital, with a defined maximum loss and little time decay — a leveraged, risk-capped substitute for 100 shares.
Is there a bearish version?
Yes — the mirror image buys two ITM puts and sells one ATM put for roughly −100 delta, giving stock-like downside exposure with the same low-decay idea.
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