I like these pregnant flies a lot, but not on the SPX. Also, my preference is to open <30 days out (however, the farther out, the cheaper the fly) and close/roll in last 5 days to expiration...but it all depends on your price action/volatility forecasts and personal style.
I shoot for risk/reward 1:2 or 1:3 in general on broad index products. With higher IV it's possible to get much better. The main thing is that you can have a much smaller position size on vs. a wide iron condor for comparable reward.
It's tempting to place the wings on an iron fly further and further out in an attempt to increase the profit zone but a cursory examination will reveal that risk/reward decreases at a faster rate than the profit zone increases. So perhaps something to bear in mind.
FWIW, I did a basic overview of these flies earlier. I've done so much linking that I'm linking to a post that links to a further post
Also, I outlined earlier some key risk/reward differences between flies and condors that may confirm/deny what you already know.
I am hugely biased towards these positions versus FOTM credit spreads or wide iron condors so bear that in mind if you read my stuff
Lastly, if you haven't tried these before, you have to be mentally prepared for a worse win/loss ratio compared to a high probability FOTM credit spread/iron condor.
These positions are the logical conclusion of going closer to the money but in a market neutral fashion.
[EDIT: I see I'm late to the party, Aardvark, Phil, Riskarb and co have already covered the details...Doh!]
MoMoney.
