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You can structure ATM/ITM verticals with positive theta initially if that is what you are aiming to do ... just eyeball the RiskGraph in previous post ... the Vertical has more +Theta than the Zebra ... I generally prefer to trade Vertical put spreads -v- Outright long puts ... but again ... if...

Personally, FWIW, I think there are better / simpler trade structures than the ZEBRA that achieve similar pay=offs ... without giving it too much thought Generically, the ZEBRA might look like ... and when compared with simple Put Vertical Spread with similar max-loss / zero-extrinsic looks...

Must have mis-understood when you were recommending the Zebra as trade :-}}

This is another ridiculous trade "invented" by TastyTrade to peddle to the TastyLemmings who don't understand option basics ... even Tom Sosnoff called it a 'stupid' trade recently The trade suggested in the article is with SPY Spot at 443 ... sell 1 x 445 ITM Put ... buy 2 x 450 ITM Puts...

Andy Good to have you back from the beach ! 2 quick questions ... 1. Any particular reason that you traded SPX flies that were 95 points wide (4210-4305-4400) -v- say 100 points wide (4200-4300-4400) ? 2. Do you ever look at / consider Fly price arc as part of process ... this is for FTSE ...

Similar outcome if you use formula provided by Natenberg Spot x exponential(#SD x Vol% x Sqrt(Days/365))

I was kidding when I said 'revolutionary' ... the example for expected range they provide is based on implied Vol 20% for 1 year ... using their definition ... what is the 3 SD range for following params ? Stock price 1000 Implied Volatility 100% Time 1 year

This new Options Math from the brains trust at TastyTrade is revolutionary ...

PDF attached

Much depends on your view on Market Direction / Vols ... also have a look at 235-240 Call vertical ... usually similar price to Wider Butterfly

Andy Thanks for detailed feedback. I would be interested the next time you are considering a 231/123 type structure, if you could also evaluate the "approximately equivalent" 121 type structure ( essentially buying the furthest / cheapest OTM baby fly to complete the set ) For example

Andy Thanks for detailed/interesting response ... couple of follow up qustions #1 Interested to see what your thinking is of using Monte-Carlo sim to evaluate what are essentially discrete trades #2 Strike width ... are you saying you use the ATM straddle to determine the Fly Wing-Body...

Andy ... apologies ... late arrival to this thread ... as you know, I am always interested discussing Wingspreads ... and am happy to chip in with ideas / feedback ... particularly if you are trading FTSE options Couple of quick questions #1 Where do you see the edge in a 132 -v- 121 structure...

When using to 'Dissect' positions the difference between the strikes is the 'notional price' of the box spread on expiry ( market price would be slightly different due to bid-ask / carry ) I think of the Box Spread as a means of 'converting' one position into a synthetically equivalent...

Second nature ... once you have done it 10,000 times !

Basic position dissection ( a la Cottle ) ... Long 36call / 39put Guts (ITM) strangle bought for $1.70+$1.90 = $3.60 Dissect out $3.00 box ( difference between strikes ) Synthetically Long 36put / 39call strangle bought for $1.70+$1.90 = $3.60 - $3 box = $0.60 Max Loss $0.60 x 10 contracts = $600

Quick and dirty methods for estimating 1 SD implied move from Vols / ATM straddles ... for #days forward ... Spot x iVol x Sqrt(days/365) ... for #days forward ... ATM Straddle x 1.25 x Sqrt(days/DTE) ... for expiry ... ATM Straddle x 1.25

Trading is a tough game though ... there is no 'easy way' to learn ... although plenty will try and sell you a 'Triple-income-wheel' strategy that appeals to the naive I seem to remember Cottle introduces his book as starting where others have finished

Why "besides the Charles Cottle book" ?

You could do it locally ... say with call options ... Buy 1 x 100 strike call ... v Buy 2 x 100 - 110 strike call spreads at same price as outright call Requires 100 - 110 call 1x2 spread to trade at Par or better