Double diagonal
Neutral / rangeLimited profitLimited loss
Short near strangle, long far strangle: an iron condor across time.
Payoff at front expiry — live BTC example
Net debit
$80.09
Max profit
$98.39
Max loss
$1,080
Breakevens
64,666 / 65,383 / 66,618 / 67,070
Example legs (0.7 DTE front)
- Sell 67,000 call · 2026-07-23
- Sell 64,800 put · 2026-07-23
- Buy 68,000 call · 2026-07-24
- Buy 64,000 put · 2026-07-24
Entry greeks (per 1 BTC notional): Δ -0.022 · Γ -0.1115 per 1% · vega $6.40/pt · theta $26.19/day
How it works
Sell the front strangle, own a wider back strangle: front theta pays while the back legs cap the tails at front expiry.
When to use it
Range thesis plus a view that front IV is rich versus back.
Risks & management
Vega-heavy: back-leg IV dropping hurts everywhere on the curve. Manage at front expiry — the second cycle is a new decision.
Related structures
Example built from live Delta Exchange BTC marks on the nearest constructible expiry; numbers refresh with the chain. Educational content, not investment advice.